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| Name | Symbol | Market | Type |
|---|---|---|---|
| First Trust Multi Cap Value AlphaDEX Fund | NASDAQ:FAB | NASDAQ | Exchange Traded Fund |
| Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| -1.09 | -1.33% | 81.2744 | 70.17 | 121.83 | 81.80 | 81.22 | 81.80 | 4,084 | 21:30:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
Item 1. Report to Stockholders.
The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
First Trust Exchange-Traded AlphaDEX(R) Fund
Annual Report July 31, 2008
[LOGO OMITTED]
AlphaDEX(R) Family of ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
Front Cover
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008 Shareholder Letter 2 Market Overview 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund 4 First Trust Consumer Staples AlphaDEX(R) Fund 6 First Trust Energy AlphaDEX(R) Fund 8 First Trust Financials AlphaDEX(R) Fund 10 First Trust Health Care AlphaDEX(R) Fund 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 14 First Trust Materials AlphaDEX(R) Fund 16 First Trust Technology AlphaDEX(R) Fund 18 First Trust Utilities AlphaDEX(R) Fund 20 First Trust Large Cap Core AlphaDEX(R) Fund 22 First Trust Mid Cap Core AlphaDEX(R) Fund 24 First Trust Small Cap Core AlphaDEX(R) Fund 26 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 28 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 30 First Trust Multi Cap Value AlphaDEX(R) Fund 32 First Trust Multi Cap Growth AlphaDEX(R) Fund 34 Notes to Fund Performance Overview 36 Understanding Your Fund Expenses 37 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund 39 First Trust Consumer Staples AlphaDEX(R) Fund 41 First Trust Energy AlphaDEX(R) Fund 42 First Trust Financials AlphaDEX(R) Fund 43 First Trust Health Care AlphaDEX(R) Fund 46 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 48 First Trust Materials AlphaDEX(R) Fund 49 First Trust Technology AlphaDEX(R) Fund 51 First Trust Utilities AlphaDEX(R) Fund 53 First Trust Large Cap Core AlphaDEX(R) Fund 54 First Trust Mid Cap Core AlphaDEX(R) Fund 60 First Trust Small Cap Core AlphaDEX(R) Fund 65 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 71 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 75 First Trust Multi Cap Value AlphaDEX(R) Fund 78 First Trust Multi Cap Growth AlphaDEX(R) Fund 86 Statements of Assets and Liabilities 94 Statements of Operations 98 Statements of Changes in Net Assets 102 Financial Highlights 110 Notes to Financial Statements 118 Report of Independent Registered Public Accounting Firm 126 Additional Information 127 Board of Trustees and Officers 129 Risk Considerations 131 |
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that any Fund (individually called a "Fund" and collectively, the "Funds") of the Trust will achieve its investment objective. Each Fund of the Trust is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and market price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about the Funds and presents data and analysis that provide insight into each Fund's performance and investment approach.
By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other regulatory filings.
First Trust Exchange-Traded AlphaDEX(R) Fund Annual Report July 31, 2008
Dear Shareholders:
The majority of 2008 has been challenging for the financial markets and for many investors. Yet, regardless of the market, First Trust Advisors L.P. ("First Trust") believes that in order to be successful in reaching your financial goals, you should be invested for the long term. We also believe that investors should seek professional help from a financial advisor who has been through many types of markets, knows the range of investments available, and is committed to bringing you investments suitable to your particular situation.
Our goal at First Trust has always been to provide a wide range of investment products, including our family of exchange-traded funds, to help financial advisors give you the opportunity to meet your financial objectives. We have continued to expand our product line to ensure that you have many choices to fit your investment needs.
The report you hold will give you detailed information about the Funds that comprise the First Trust Exchange-Traded AlphaDEX(R) Fund for the twelve-month period ended July 31, 2008. This report contains a performance overview for each Fund and each Fund's financial statements for the period. I encourage you to read this document and discuss it with your financial advisor.
First Trust has been through many types of markets and remains committed to bringing you quality investment solutions regardless of the inevitable ups and downs experienced in the market. We offer a variety of products that may fit many financial plans to help those investors seeking long-term investment success.
We continue to value our relationship with you, and we thank you for the opportunity to assist you in achieving your financial goals.
Sincerely,
/s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(R) Fund |
First Trust Exchange-Traded AlphaDEX(R) Fund Annual Report July 31, 2008
[PHOTO OMITTED] Robert F. Carey, CFA
Senior Vice President and Chief Investment Officer
First Trust Advisors L.P.
Mr. Carey is responsible for the overall management of
research and analysis of the First Trust product line. Mr.
Carey has 21 years of experience as an Equity and
Fixed-Income Analyst and is a recipient of the Chartered
Financial Analyst ("CFA") designation. He is a graduate of
the University of Illinois at Champaign-Urbana with a B.S.
in Physics. He is also a member of the Investment Analysts
Society of Chicago and the CFA Institute. Mr. Carey has
appeared as a guest on such programs as Bloomberg TV, CNBC,
and WBBM Radio, and has been quoted by several publications,
including The Wall Street Journal, The Wall Street Reporter,
Bloomberg News Service, and Registered Rep.
|
State of the Economy
The combination of continued weakness in the residential housing market, higher energy prices, falling dollar, rising inflation and substantial losses taken by financial institutions on subprime-related mortgage debt pushed stock indices down both domestically and abroad in the first half of 2008. These and other factors also slashed economic growth in the U.S. in the past few quarters. The following data reflects the sharp deterioration in real Gross Domestic Product ("GDP") growth: third quarter 2007 (+4.8%); fourth quarter 2007 (-0.2%); first quarter 2008 (+0.9%) and second quarter 2008 (+3.3%). While technically not a recessionary environment (two consecutive quarters of negative growth), this climate has had a similar impact on equity valuations.
Had the Federal Reserve Bank (the "Fed") not moved to aggressively lower short-term lending rates (September 2007 through April 2008), the economy more than likely would have slid into a full-fledged recession. Since it can take up to nine months for a Fed rate action to impact the economy, we are encouraged by the fact that five of the six rate cuts made by the Fed will reach the nine-month mark in the second half of 2008. All in all, during the period from September 2007 through April 2008, the Fed lowered the federal funds target rate from 5.25% to 2.00%.
U.S. Stocks and Bonds
The major U.S. stock indices posted negative returns across the board for the 12-month period ended July 31, 2008, but mid-caps managed to continue to outpace large- and small-caps even on the way down. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were down 11.1%, 5.0%, and 8.3%, respectively, according to Bloomberg. Of the 10 major sectors in the S&P 500 Index, four were in positive territory for the fiscal year ended July 31, 2008: Energy (+6.6%); Consumer Staples (+6.6%); Materials (+4.3%); and Utilities (+4.0%). Energy, staples and materials benefitted from weakness in the U.S. dollar, while utilities continued to thrive in the low interest rate climate. Financials fell 32.9% due to the billions lost from exposure to subprime mortgages and related debt securities.
At the midpoint of 2008, Standard & Poor's reported that earnings estimates for all of 2008 favor growth stocks over value stocks. With respect to the S&P 500 Index, growth stocks are expected to post a 13% rise in 2008 earnings per share (EPS), versus a 2% rise for the value stocks in the index. With respect to the S&P MidCap 400 Index, growth stocks are expected to post a 23% rise in 2008 EPS, versus a 7% rise for the value stocks in the index. With respect to the S&P SmallCap 600 Index, growth stocks are expected to post a 14% rise in 2008 EPS, versus a 3% rise for the value stocks in the index.
In the U.S. bond market, a clear delineation existed between investment-grade
debt and speculative-grade debt. The speculative-grade debt sold-off in light of
the weakness in economic activity. The Lehman Brothers U.S. Corporate High Yield
Index posted a total return of -0.03% for the 12-month period ended July 31,
2008, compared to a gain of 8.84% for the Lehman Brothers U.S. Treasury:
Intermediate Index, according to Lehman Brothers.
Foreign Stocks and Bonds
In the fourth quarter of 2007, there were some pundits touting the notion that emerging countries were far enough along in their maturation process to decouple from the U.S., allowing them to maintain superior growth rates irrespective of the U.S.'s sluggishness. Having passed the midpoint of 2008, we can comfortably proclaim this notion to be false. We believe foreign economies are still very much tethered to the economic climate in the U.S. The spike in inflation alone resulting from the Fed's aggressive easing of monetary policy and corresponding decline in the U.S. dollar significantly impacted those countries that are big importers of natural resources, particularly oil and food commodities.
The International Monetary Fund's global GDP growth rate outlook is as follows:
5.0% (2007); 4.1% estimated (2008); and 3.9% estimated (2009). The MSCI World
(ex U.S.) and MSCI Emerging Markets indices declined by 10.3% (USD) and 4.2%
(USD) for the 12-month period ended July 31, 2008, according to Bloomberg.
Foreign bonds fared better than foreign equities during this same period. The
Lehman Brothers Global Aggregate Index and Global Emerging Markets Index
returned 10.8% and 7.0%, respectively, for the 12-month period ended July 31,
2008, according to Lehman Brothers.
FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the American Stock Exchange LLC (the "AMEX") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Discretionary and Services Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -24.24% -24.02% -28.67% Market Price -24.39% -24.10% -28.77% INDEX PERFORMANCE StrataQuant(TM) Consumer Discretionary Index -23.79% -23.44% -28.06% Russell 1000(R) Consumer Discretionary and Services Index -16.92% -17.42% -21.03% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted a net asset value ("NAV") return of -24.24% over the twelve months ended July 31, 2008 versus -16.92% for the Russell 1000(R) Consumer Discretionary and Services Index. The top contributor to Fund performance was the toy industry followed by the wholesalers industry. Only four of the 30 represented industries posted positive contributions to return over the period, while the Russell 1000(R) Consumer Discretionary and Services Index had only three out of its 30 industries post positive contributions to return. The biggest drag on performance relative to the benchmark came from the retail industry. Almost one-third of the Fund and benchmark holdings over the period were allocated to the retail industry. However, the benchmark contribution to return from the retail industry was over 280 basis points greater than that for the Fund.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Activision Blizzard, Inc. Idearc, Inc. Hasbro, Inc. RH Donnelley Corp. Ross Stores, Inc. Avis Budget Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 75.78% Industrials 10.65 Information Technology 7.39 Consumer Staples 5.26 Energy 0.92 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- RadioShack Corp. 1.75% Whirlpool Corp. 1.58 Royal Caribbean Cruises Ltd. 1.46 Carnival Corp. 1.44 Hasbro, Inc. 1.39 Liberty Media Corp. - Capital, Series A 1.39 Panera Bread Co., Class A 1.39 Sohu.com, Inc. 1.38 Ross Stores, Inc. 1.37 Activision Blizzard, Inc. 1.36 ------- Total 14.51% ======= |
FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Consumer Discretionary Consumer Russell 1000(R) Russell 1000(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary and Services Index --------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,415 $ 9,439 $ 9,674 $ 9,506 7/31/2008 $ 7,133 $ 7,193 $ 8,647 $ 7,898 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 149 7 0 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 146 3 2 0 |
FXG - First Trust Consumer Staples AlphaDEX(R) Fund
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Staples Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -4.86% -7.46% -9.10% Market Price -4.92% -7.50% -9.15% INDEX PERFORMANCE StrataQuant(TM) Consumer Staples Index -4.12% -6.71% -8.20% Russell 1000(R) Consumer Staples Index 3.68% 1.14% 1.36% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -4.86% over the twelve months ended July 31, 2008, trailing the Russell 1000(R) Consumer Staples Index return of 3.68%. The food and beverage: brewers industries were the top contributors to return as investors shifted towards more defensive industries over the period. The Fund was hurt by overweight positions relative to the benchmark in the drug and grocery store chains and beverage: soft drinks. Rising commodity costs and shrinking margins hurt both industries resulting in almost 800 basis points of negative contribution to the Fund's return.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Wm. Wrigley Jr. Co. SUPERVALU, Inc. PepsiAmericas, Inc. Rite Aid Corp. Molson Coors Brewing Co. Avis Budget Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- PepsiAmericas, Inc. 6.36% NBTY, Inc. 5.72 Wm. Wrigley Jr. Co. 5.40 Dr. Pepper Snapple Group, Inc. 5.24 Kroger (The) Co. 5.21 SUPERVALU, Inc. 4.41 Reynolds American, Inc. 4.36 Del Monte Foods Co. 4.36 ConAgra Foods, Inc. 4.10 Anheuser-Busch Cos., Inc. 3.98 ------- Total 49.14% ======= |
FXG - First Trust Consumer Staples AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Consumer Staples Consumer Russell 1000(R) Russell 1000(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,555 $ 9,574 $ 9,674 $ 9,780 7/31/2008 $ 9,091 $ 9,180 $ 8,647 $10,140 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 169 8 1 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 122 6 0 0 |
FXN - First Trust Energy AlphaDEX(R) Fund
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXN."
The Energy Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmarks (Russell 1000(R) Integrated Oils Index and Russell 1000(R) Other Energy Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV 15.62% 15.90% 19.90% Market Price 15.51% 15.86% 19.85% INDEX PERFORMANCE StrataQuant(TM) Energy Index 16.30% 16.56% 20.80% Russell 1000(R) Integrated Oils Index 2.31% 7.87% 9.88% Russell 1000(R) Other Energy Index 14.39% 15.13% 19.02% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of 15.62% over the twelve months ended July 31, 2008 versus returns of 2.31% for the Russell 1000(R) Integrated Oils Index and 14.39% for the Russell 1000(R) Other Energy Index. The portfolio's holdings in the other energy sector accounted for approximately 88% of the Fund's holdings and outperformed the Russell 1000(R) Other Energy Index by approximately 100 basis points. The portfolio's holdings in the integrated oils sector also outperformed its benchmark, returning approximately 500basis points more than the Russell 1000(R) Integrated Oils Index over the period. Crude producers and oil well equipment and services were the top two industries by contribution to return. The miscellaneous energy industry had the most negative contribution to the Fund's return.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Massey Energy Co. Western Refining, Inc. Helmerich & Payne, Inc. Valero Energy Corp. W&T Offshore, Inc. Tesoro Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Energy 99.52% Utilities 0.48 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Marathon Oil Corp. 3.27% SEACOR Holdings, Inc. 3.20 Oil States International, Inc. 2.96 Superior Energy Services, Inc. 2.95 Encore Acquisition Co. 2.82 Murphy Oil Corp. 2.79 Valero Energy Corp. 2.78 Hess Corp. 2.75 FMC Technologies, Inc. 2.75 Tesoro Corp. 2.68 ------- Total 28.95% ======= |
FXN - First Trust Energy AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Russell 1000(R) Russell 1000(R) Energy Energy Russell 1000(R) Integrated Oils Other Energy AlphaDEX(R) Fund Index Index Index Index --------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,370 $10,387 $ 9,674 $10,737 $10,400 7/31/2008 $11,990 $12,080 $ 8,647 $10,985 $11,897 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 138 5 4 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 153 7 0 0 |
FXO - First Trust Financials AlphaDEX(R) Fund
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Financial Services Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -28.95% -30.76% -36.38% Market Price -29.09% -30.81% -36.43% INDEX PERFORMANCE StrataQuant(TM) Financials Index -28.22% -29.93% -35.50% Russell 1000(R) Financial Services Index -29.84% -31.63% -37.47% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -28.95% over the twelve months ended July 31, 2008, slightly outperforming the Russell 1000(R) Financial Services Index return of -29.84%. All sixteen industries represented in the Fund's portfolio posted negative returns over the period as the U.S. credit crisis led to unprecedented write-downs throughout the sector. Financial data processing services was the best performing industry in the portfolio, although it still had a negative 12 basis points of contribution to return. Two industries, the securities brokerage & services and banks outside of New York City, had the most negative impact on the Fund's performance, with negative 438 and negative 405 basis points of contribution to return, respectively.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Philadelphia Consolidated Holding Co. PMI Group, Inc. MasterCard, Inc. IndyMac Bancorp, Inc. SAFECO Corp. CIT Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Financials 87.81% Information Technology 6.57 Industrials 3.65 Consumer Discretionary 1.56 Health Care 0.41 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Philadelphia Consolidated Holding Co. 1.72% Fifth Third Bancorp 1.37 CIT Group, Inc. 1.25 RenaissanceRe Holdings Ltd. 1.14 Comerica, Inc. 1.12 Wachovia Corp. 1.11 Capital One Financial Corp. 1.10 DST Systems, Inc. 1.10 Cincinnati Financial Corp. 1.10 HCC Insurance Holdings, Inc. 1.07 ------- Total 12.08% ======= |
FXO - First Trust Financials AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Financials Financials Russell 1000(R) Russell 1000(R) AlphaDEX(R) Fund Index Index Financial Services Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 8,955 $ 8,986 $ 9,674 $ 8,918 7/31/2008 $ 6,363 $ 6,450 $ 8,647 $ 6,257 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 136 4 4 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 150 10 2 0 |
FXH - First Trust Health Care AlphaDEX(R) Fund
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Health Care Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -2.82% -4.37% -5.35% Market Price -2.97% -4.41% -5.40% INDEX PERFORMANCE StrataQuant(TM) Health Care Index -1.96% -3.48% -4.27% Russell 1000(R) Health Care Index -1.95% -7.28% -8.90% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -2.82% over the twelve months ended July 31,
2008, underperforming the Russell 1000(R) Health Care Index return of -1.95%.
The biotechnology research & production and electronics: medical systems
industries were the top two contributors to the Fund's return. Electronics:
medical systems was underweight in the portfolio relative to the benchmark;
however, its contribution to return was double that of the benchmark. The health
care management services industry and the drugs and pharmaceuticals industry had
the most negative contribution to the Fund's return. Combined, the two
industries accounted for roughly 540 basis points of negative contribution to
the Fund's return over the period.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Millennium Pharmaceuticals Wellcare Health Plans, Inc. Express Scripts, Inc. WellPoint, Inc. Intuitive Surgical, Inc. Coventry Health Care, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Health Care 96.89% Consumer Staples 2.07 Industrials 1.04 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Coventry Health Care, Inc. 2.62% Lincare Holdings, Inc. 2.55 Humana, Inc. 2.48 WellPoint, Inc. 2.48 King Pharmaceuticals, Inc. 2.47 Illumina, Inc. 2.41 UnitedHealth Group, Inc. 2.41 Medco Health Solutions, Inc. 2.36 Hill-Rom Holdings, Inc. 2.34 LifePoint Hospitals, Inc. 2.28 ------- Total 24.40% ======= |
FXH - First Trust Health Care AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Health Care Health Care Russell 1000(R) Russell 1000(R) AlphaDEX(R) Fund Index Index Health Care Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,764 $ 9,674 $ 9,291 7/31/2008 $ 9,465 $ 9,573 $ 8,647 $ 9,110 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 160 7 2 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 123 15 0 0 |
FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Producer Durables Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -6.82% -9.94% -12.08% Market Price -7.22% -10.03% -12.23% INDEX PERFORMANCE StrataQuant(TM) Industrials Index -6.17% -9.24% -11.26% Russell 1000(R) Producer Durables Index -11.04% -6.91% -8.44% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -6.82% over the twelve months ended July 31, 2008, outperforming the Russell 1000(R) Producer Durables Index return of -11.04%. The agricultural machinery industry was the best performing industry with 141 basis points contribution to return. The identification control and industrial/specialty machinery industries also contributed positively to results. The production technology equipment industry had the most negative contribution to return, followed by the construction and handling machinery industry. The two industries combined for approximately 470 basis points of negative contribution to the Fund's return.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Flowserve Corp. Ryland Group, Inc. AGCO Corp. Terex Corp. Gardner Denver, Inc. General Cable Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Industrials 69.50% Information Technology 20.11 Telecommunication Services 4.15 Health Care 3.51 Consumer Discretionary 2.73 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Spirit AeroSystems Holdings, Inc., Class A 3.78% Lexmark International, Inc., Class A 3.51 Cummins, Inc. 3.38 Steelcase, Inc., Class A 3.32 Flowserve Corp. 3.26 Bucyrus International, Inc. 3.20 Itron, Inc. 3.14 Terex Corp. 3.08 Lam Research Corp. 3.04 NVR, Inc. 2.96 ------- Total 32.67% ======= |
FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Industrials/Producer StrataQuant(TM) Durables Industrials Russell 1000(R) Russell 1000(R) AlphaDEX(R) Fund Index Index Producer Durables Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,435 $ 9,457 $ 9,674 $10,291 7/31/2008 $ 8,792 $ 8,874 $ 8,647 $ 9,155 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 161 5 3 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 131 6 1 0 |
FXZ - First Trust Materials AlphaDEX(R) Fund
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Materials and Processing Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV 9.44% 8.35% 10.37% Market Price 10.49% 9.19% 11.43% INDEX PERFORMANCE StrataQuant(TM) Materials Index 10.13% 9.04% 11.28% Russell 1000(R) Materials and Processing Index 2.35% 2.90% 3.47% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of 9.44% over the twelve months ended July 31, 2008, outperforming the 2.35% return of the Russell 1000(R) Materials and Processing Index. Fertilizers, metals and minerals, and steel were the top performing industries and collectively contributed 844 basis points of the Fund's return over the period. Twelve of the 22 industries represented in the Fund posted positive returns over the period. The chemicals and building materials industries had the largest negative contributions to the Fund's return (-270 basis points).
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Cleveland-Cliffs, Inc. Westlake Chemical Corp. Mosaic Co. Owens Corning, Inc. AK Steel Holding Corp. Carpenter Technology Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Materials 75.56% Industrials 21.77 Consumer Staples 2.67 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Temple-Inland, Inc. 3.76% Terra Industries, Inc. 2.86 CF Industries Holdings, Inc. 2.79 Bemis Co., Inc. 2.62 Airgas, Inc. 2.56 International Paper Co. 2.48 Shaw Group (The), Inc. 2.44 Quanta Services, Inc. 2.42 Armstrong World Industries, Inc. 2.41 AK Steel Holding Corp. 2.40 ------- Total 26.74% ======= |
FXZ - First Trust Materials AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Materials Materials Russell 1000(R) Russell 1000(R) Materials AlphaDEX(R) Fund Index Index and Processing Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,085 $10,104 $ 9,674 $10,121 7/31/2008 $11,037 $11,128 $ 8,647 $10,348 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 159 4 5 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 127 10 2 0 |
FXL - First Trust Technology AlphaDEX(R) Fund
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Technology Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -13.87% -9.75% -11.85% Market Price -13.89% -9.83% -11.95% INDEX PERFORMANCE StrataQuant(TM) Technology Index -13.24% -9.06% -11.04% Russell 1000(R) Technology Index -7.46% -4.38% -5.36% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -13.87% over the twelve months ended July 31, 2008, trailing the Russell 1000(R) Technology Index return of -7.46%. Three of the eight industries (electronics: technology, scientific equipment & supplies and electrical & electronics) represented in the Fund over the period posted positive returns. The semi-conductors/components and computer technology industries were the biggest drags on performance with approximately negative 660 basis points of contribution to the Fund's return.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS DRS Technologies, Inc. Cadence Design Systems, Inc. Salesforce.com, Inc. SanDisk Corp. BEA Systems VeriFone Holdings, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Information Technology 93.49% Industrials 3.72 Health Care 2.79 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- LSI Corp. 2.63% Computer Science Corp. 2.36 Vishay Intertechnology, Inc. 2.36 FLIR Systems, Inc. 2.34 Avnet, Inc. 2.33 ANSYS, Inc. 2.27 Trimble Navigation Ltd. 2.17 SAIC, Inc. 2.12 AVX Corp. 2.07 International Rectifier Corp. 2.05 ------- Total 22.70% ======= |
FXL - First Trust Technology AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Technology Technology Russell 1000(R) Russell 1000(R) AlphaDEX(R) Fund Index Index Technology Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,235 $10,252 $ 9,674 $10,226 7/31/2008 $ 8,815 $ 8,895 $ 8,647 $ 9,463 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 153 5 4 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 140 4 1 0 |
FXU - First Trust Utilities AlphaDEX(R) Fund
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(TM) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Utilities Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -7.39% -12.32% -14.94% Market Price -7.57% -12.46% -15.10% INDEX PERFORMANCE StrataQuant(TM) Utilities Index -6.56% -11.50% -13.99% Russell 1000(R) Utilities Index -11.40% -12.47% -15.18% Russell 1000(R) Index -10.62% -11.12% -13.53% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -7.39% over the twelve months ended July 31, 2008, outperforming the Russell 1000(R) Utilities Index return of -11.40%. The miscellaneous utilities industry posted 108 basis points of contribution to the Fund's return. The industry was the only industry with positive contribution during the period. The telecommunications industry was the worst performing industry and accounted for approximately negative 617 basis points of contribution to the Fund's return.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS TECO Energy, Inc. Sprint Nextel Corp. Puget Energy, Inc. US Cellular Corp. MDU Resources Group, Inc. Leap Wireless International Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Utilities 78.34% Telecommunication Services 20.31 Consumer Discretionary 1.35 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Pinnacle West Capital Corp. 3.73% CenturyTel, Inc. 3.64 United States Cellular Corp. 3.61 Consolidated Edison, Inc. 3.47 Duke Energy Corp. 3.46 Great Plains Energy, Inc. 3.42 DTE Energy Co. 3.30 NiSource, Inc. 3.26 Alliant Energy Corp. 3.22 AES (The) Corp. 2.87 ------- Total 33.98% ======= |
FXU - First Trust Utilities AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Utilities Utilities Russell 1000(R) Russell 1000(R) AlphaDEX(R) Fund Index Index Utilities Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,185 $ 9,205 $ 9,674 $ 9,578 7/31/2008 $ 8,506 $ 8,601 $ 8,647 $ 8,486 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 167 6 1 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 125 5 2 0 |
FEX - First Trust Large Cap Core AlphaDEX(R) Fund
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FEX."
The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P" or "Standard & Poor's"), to objectively identify and select stocks from the S&P 500 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500 Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -13.14% -14.02% -16.96% Market Price -13.14% -14.05% -16.99% INDEX PERFORMANCE Defined Large Cap Core Index -12.49% -13.34% -16.18% S&P 500 Index -11.09% -11.39% -13.85% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -13.14% over the twelve months ended July 31, 2008 versus -11.09% for the S&P 500 Index. Utilities and energy were the only sectors that produced a positive contribution to return over the period. The information technology, consumer discretionary and financial sectors had the largest negative impact on the Fund's performance on an absolute basis.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Big Lots, Inc. Bear Stearns Companies Monsanto Co. Office Depot, Inc. Hess Corp. CIT Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 16.72% Financials 13.72 Industrials 11.74 Energy 11.46 Information Technology 10.57 Health Care 9.80 Materials 8.78 Consumer Staples 8.62 Utilities 6.55 Telecommunication Services 2.04 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- RadioShack Corp. 0.62% Bemis Co., Inc. 0.57 Whirlpool Corp. 0.56 International Paper Co. 0.54 Carnival Corp. 0.51 Humana, Inc. 0.50 WellPoint, Inc. 0.50 King Pharmaceuticals, Inc. 0.50 Fifth Third Bancorp 0.50 Cincinnati Financial Corp. 0.50 ------- Total 5.30% ======= |
FEX - First Trust Large Cap Core AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Large Cap Core Defined Large S&P 500 AlphaDEX(R) Fund Cap Core Index Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,560 $ 9,579 $ 9,690 7/31/2008 $ 8,304 $ 8,383 $ 8,615 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 144 3 7 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 147 5 1 0 |
FNX - First Trust Mid Cap Core AlphaDEX(R) Fund
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FNX."
The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P MidCap 400 Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -7.51% -9.78% -11.89% Market Price -7.62% -9.89% -12.03% Index Performance Defined Mid Cap Core Index -6.82% -9.11% -11.11% S&P MidCap 400 Index -4.96% -7.05% -8.62% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -7.51% over the twelve months ended July 31, 2008 versus -4.96% for the S&P MidCap 400 Index. The materials and energy sectors posted the most positive contributions to return over the period. The consumer discretionary, financials and information technology sectors had the largest negative impact on Fund performance on an absolute basis. Industrial stocks also weighed on performance.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Cleveland-Cliffs, Inc. PMI Group, Inc. Encore Acquisition Co. Lee Enterprises, Inc. Netflix, Inc. Radian Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Industrials 22.96% Consumer Discretionary 18.77 Information Technology 14.14 Materials 9.80 Financials 9.66 Health Care 7.12 Energy 6.60 Utilities 6.49 Consumer Staples 4.16 Telecommunication Services 0.30 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Cathay General Bancorp 0.82% Temple-Inland, Inc. 0.80 AirTran Holdings, Inc. 0.80 HNI Corp. 0.68 Colonial BancGroup (The), Inc. 0.67 American Greetings Corp., Class A 0.67 Alaska Air Group, Inc. 0.65 Wabtec Corp. 0.64 Terra Industries, Inc. 0.61 Trinity Industries, Inc. 0.61 ------- Total 6.95% ======= |
FNX - First Trust Mid Cap Core AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Defined Mid Cap Core Mid Cap Core S&P Mid Cap AlphaDEX(R) Fund Index 400 Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,527 $ 9,540 $ 9,615 7/31/2008 $ 8,812 $ 8,889 $ 9,138 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 146 15 4 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 136 4 2 0 |
FYX - First Trust Small Cap Core AlphaDEX(R) Fund
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FYX."
The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P SmallCap 600 Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -12.14% -14.16% -17.12% Market Price -12.33% -14.38% -17.39% INDEX PERFORMANCE Defined Small Cap Core Index -11.34% -13.34% -16.18% S&P SmallCap 600 Index -8.28% -10.30% -12.55% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -12.14% over the twelve months ended July 31, 2008 versus -8.28% for the S&P SmallCap 600 Index. The energy, health care and utilities sectors all provided positive contributions to the Fund's return. The information technology, financials and consumer discretionary sectors had the most negative impact on Fund performance over the period on an absolute basis.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Finish Line, Inc. Building Materials Holding Corp. Lindsay Corp. Tronox, Inc. EDO Corp. BankUnited Financial Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 20.71% Industrials 18.58 Information Technology 16.04 Financials 12.46 Health Care 12.45 Energy 7.15 Materials 5.09 Consumer Staples 4.33 Utilities 2.64 Telecommunication Services 0.55 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- Sterling Financial Corp. 0.64% East West Bancorp, Inc. 0.60 Myers Industries, Inc. 0.49 Digi International, Inc. 0.46 CTS Corp. 0.46 Ruby Tuesday, Inc. 0.45 Amedisys, Inc. 0.45 Woodward Governor Co. 0.45 Winnebago Industries, Inc. 0.45 Aaron Rents, Inc. 0.44 ------- Total 4.89% ======= |
FYX - First Trust Small Cap Core AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------- First Trust Small Defined Small S&P SmallCap Cap Core Cap Core 600 AlphaDEX(R) Fund Index Index -------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,433 $ 9,454 $ 9,535 7/31/2008 $ 8,288 $ 8,382 $ 8,746 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 140 5 6 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 148 5 3 0 |
FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund
The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTA."
The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Value Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -16.85% -17.79% -21.42% Market Price -17.10% -17.85% -21.49% INDEX PERFORMANCE Defined Large Cap Value Opportunities Index -16.16% -17.13% -20.68% S&P 500/Citigroup Value Index -15.86% -16.00% -19.33% S&P 500 Index -11.09% -11.39% -13.85% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -16.85% over the twelve months ended July 31, 2008 versus -15.86% for the S&P 500/Citigroup Value Index. The utilities and energy sectors contributed the most positive impact to the Fund's performance. The financials and consumer discretionary sectors had the most negative impact on Fund performance on an absolute basis. Information technology, telecommunication services and materials stocks also hurt overall performance.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Big Lots, Inc. Bear Stearns Companies Nabors Industries Ltd. Office Depot, Inc. Hess Corp. CIT Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 23.99% Financials 18.74 Utilities 10.89 Industrials 10.49 Materials 8.49 Consumer Staples 7.91 Information Technology 7.68 Health Care 5.32 Telecommunication Services 3.41 Energy 3.08 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- RadioShack Corp. 1.13% Bemis Co., Inc. 1.04 Whirlpool Corp. 1.02 International Paper Co. 0.99 Sealed Air Corp. 0.95 Carnival Corp. 0.93 Humana, Inc. 0.92 WellPoint, Inc. 0.91 King Pharmaceuticals, Inc. 0.91 Fifth Third Bancorp 0.91 ------- Total 9.71% ======= |
FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Value Opportunities Value Opportunities S&P 500 S&P 500/Citigroup AlphaDEX(R) Fund Index Index Value Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,450 $ 9,462 $ 9,690 $ 9,586 7/31/2008 $ 7,858 $ 7,933 $ 8,615 $ 8,066 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 167 3 5 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 126 5 1 0 |
FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund
The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTC."
The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Growth Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -8.62% -9.03% -10.99% Market Price -8.81% -9.06% -11.03% INDEX PERFORMANCE Defined Large Cap Growth Opportunities Index -7.94% -8.34% -10.18% S&P 500/Citigroup Growth Index -6.29% -6.66% -8.15% S&P 500 Index -11.09% -11.39% -13.85% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -8.62% over the twelve months ended July 31, 2008 versus -6.29% for the S&P 500/Citigroup Growth Index. Energy had the largest contribution to the Fund's return on an absolute basis. Materials stocks also contributed positively to Fund performance. The information technology and consumer discretionary sectors had the most negative impact on performance on an absolute basis. The industrials, health care and financials sectors also weighed on performance.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Monsanto Co. WellPoint, Inc. United States Steel Corp. Terex Corp. Fluor Corp. CB Richard Ellis Group, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Energy 21.72% Health Care 15.21 Information Technology 13.63 Industrials 13.25 Materials 9.35 Consumer Staples 9.08 Consumer Discretionary 8.35 Financials 7.69 Utilities 1.32 Telecommunication Services 0.40 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- ITT Corp. 1.06% PerkinElmer, Inc. 1.04 Wal-Mart Stores, Inc. 1.04 DIRECTV Group (The), Inc. 1.04 Wm. Wrigley Jr. Co. 1.02 Cummins, Inc. 1.01 QUALCOMM, Inc. 1.00 SAFECO Corp. 0.99 Celgene Corp. 0.95 Schlumberger Ltd. 0.95 ------- Total 10.10% ======= |
FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Growth Opportunities Growth Opportunities S&P 500 S&P 500/Citigroup AlphaDEX(R) Fund Index Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,757 $ 9,690 $ 9,802 7/31/2008 $ 8,900 $ 8,982 $ 8,615 $ 9,185 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 169 3 5 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 124 5 1 0 |
FAB - First Trust Multi Cap Value AlphaDEX(R) Fund
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAB."
The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Value Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -15.53% -17.70% -21.30% Market Price -15.94% -17.78% -21.41% INDEX PERFORMANCE Defined Multi Cap Value Index -14.85% -17.00% -20.53% S&P Composite 1500/Citigroup Value Index -15.09% -15.51% -18.77% S&P Composite 1500 Index -10.51% -11.00% -13.35% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -15.53% over the twelve months ended July 31, 2008 versus -15.09% for the S&P Composite 1500/Citigroup Value Index. The energy sector was the biggest contributor to the Fund's performance on an absolute basis. Utilities, health care and consumer staples stocks also contributed positively to Fund performance. Poor performance from the financials sector led to the largest negative absolute contribution, although an underweight position relative to the benchmark limited the impact. The information technology and consumer discretionary sectors also negatively impacted Fund performance.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Big Lots, Inc. PMI Group, Inc. Finish Line, Inc. Bear Stearns Companies Nabors Industries Ltd. Office Depot, Inc. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 23.93% Financials 16.90 Industrials 15.18 Information Technology 10.41 Utilities 9.74 Materials 8.29 Consumer Staples 6.11 Health Care 4.64 Energy 2.77 Telecommunication Services 2.03 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- RadioShack Corp. 0.55% Bemis Co., Inc. 0.51 Whirlpool Corp. 0.50 International Paper Co. 0.48 Sealed Air Corp. 0.46 Carnival Corp. 0.46 Humana, Inc. 0.45 WellPoint, Inc. 0.45 King Pharmaceuticals, Inc. 0.45 Fifth Third Bankcorp 0.45 ------- Total 4.76% ======= |
FAB - First Trust Multi Cap Value AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------ First Trust Defined Multi Multi Cap Value Cap Value S&P Composite S&P Composite 1500/Citigroup AlphaDEX(R) Fund Index 1500 Index Value Index ------------------------------------------------------------------------------------------------------------ 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,317 $ 9,334 $ 9,678 $ 9,567 7/31/2008 $ 7,870 $ 7,948 $ 8,661 $ 8,123 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 167 6 2 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 124 6 2 0 |
FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAD."
The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Growth Index).
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2008 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/08 to 07/31/08 to 07/31/08 FUND PERFORMANCE NAV -5.85% -6.34% -7.76% Market Price -6.08% -6.44% -7.86% INDEX PERFORMANCE Defined Multi Cap Growth Index -5.18% -5.63% -6.90% S&P Composite 1500/Citigroup Growth Index -5.85% -6.35% -7.77% S&P Composite 1500 Index -10.51% -11.00% -13.35% ------------------------------------------------------------------------------------------------------------------------------------ |
(See Notes to Fund Performance Overview on page 36.)
Performance Review
The Fund posted an NAV return of -5.85% over the twelve months ended July 31, 2008 versus -5.85% for the S&P Composite 1500/Citigroup Growth Index. The materials and energy sectors contributed positively to portfolio performance. The information technology and consumer discretionary sectors had the most negative impact on Fund performance over the period on an absolute basis. Financials and health care also weighed on performance.
TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Cleveland-Cliffs, Inc. WellPoint, Inc. Monsanto Co. Compass Bancshares United States Steel Corp. Terex Corp. -------------------------------------------------------------------------------- |
% of Total Sector Long-Term Investments -------------------------------------------------------------- Industrials 18.33% Energy 17.06 Health Care 15.59 Information Technology 15.46 Consumer Discretionary 10.84 Materials 8.41 Consumer Staples 6.57 Financials 6.54 Utilities 1.00 Telecommunication Services 0.20 ------- Total 100.00% ======= |
% of Total Security Long-Term Investments ------------------------------------------------------------- ITT Corp. 0.52% PerkinElmer, Inc. 0.52 DIRECTV Group (The), Inc. 0.51 Wal-Mart Stores, Inc. 0.51 Wm. Wrigley Jr. Co. 0.50 Cummins, Inc. 0.50 QUALCOMM, Inc. 0.49 Safeco Corp. 0.49 Schlumberger Ltd. 0.47 Celgene Corp. 0.47 ------- Total 4.98% ======= |
FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund (Continued)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2008
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Multi Defined Multi Cap S&P S&P Composite Cap Growth Growth Composite 1500/Citigroup AlphaDEX(R) Fund Index 1500 Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,797 $ 9,818 $ 9,678 $ 9,796 7/31/2008 $ 9,224 $ 9,309 $ 8,661 $ 9,223 |
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance is no guarantee of future results.
Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2008
The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2008.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 157 6 3 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/08 135 5 1 0 |
Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" respresent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after their inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future results.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Understanding Your Fund Expenses
July 31, 2008 (Unaudited)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, First Trust Utilities AlphaDEX(R) Fund, First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, or First Trust Multi Cap Growth AlphaDEX(R) Fund (collectively, the "Funds"), you incur two types of costs: (1)transaction costs; and (2)ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2008.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------------------ Annualized Expenses Paid Expense Ratio During the Period Beginning Ending Based on the February 1, 2008 Account Value Account Value Number of Days to February 1, 2008 July 31, 2008 in the Period (a) July 31, 2008 (b) ------------------------------------------------------------------------------------------------------------------------------------ FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Actual $1,000.00 $859.80 0.70% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND Actual $1,000.00 $1,019.40 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST ENERGY ALPHADEX(R) FUND Actual $1,000.00 $1,131.80 0.70% $3.71 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST FINANCIALS ALPHADEX(R) FUND Actual $1,000.00 $801.50 0.70% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND Actual $1,000.00 $981.30 0.70% $3.45 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 Page 37 |
------------------------------------------------------------------------------------------------------------------------------------ Annualized Expenses Paid Expense Ratio During the Period Beginning Ending Based on the February 1, 2008 Account Value Account Value Number of Days to February 1, 2008 July 31, 2008 in the Period (a) July 31, 2008 (b) ------------------------------------------------------------------------------------------------------------------------------------ FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND Actual $1,000.00 $1,002.50 0.70% $3.49 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MATERIALS ALPHADEX(R) FUND Actual $1,000.00 $1,070.50 0.70% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND Actual $1,000.00 $976.20 0.70% $3.44 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST UTILITIES ALPHADEX(R) FUND Actual $1,000.00 $967.80 0.70% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $920.40 0.70% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $993.10 0.70% $3.47 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Actual $1,000.00 $977.80 0.70% $3.44 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND Actual $1,000.00 $890.90 0.70% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND Actual $1,000.00 $952.90 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Actual $1,000.00 $914.80 0.70% $3.33 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Actual $1,000.00 $1,000.80 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 (a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio of 0.70%, multiplied by the average account value over the period multiplied by 182/366 (to reflect the one-half year period). |
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--99.7% BEVERAGES--1.3% 613 Central European Distribution Corp. (b) $ 44,724 ------------- COMMERCIAL SERVICES & SUPPLIES--7.3% 2,081 Allied Waste Industries, Inc. (b) 25,180 556 Brink's (The) Co. 38,342 181 ChoicePoint, Inc. (b) 8,661 1,371 Cintas Corp. 38,990 614 Copart, Inc. (b) 26,930 319 Corrections Corp. of America (b) 8,942 531 FTI Consulting, Inc. (b) 37,786 330 Iron Mountain, Inc. (b) 9,570 625 Manpower, Inc. 30,000 295 Republic Services, Inc. 9,588 365 Robert Half International, Inc. 9,231 482 Waste Management, Inc. 17,130 ------------- 260,350 ------------- DISTRIBUTORS--0.6% 1,006 LKQ Corp. (b) 20,623 ------------- DIVERSIFIED CONSUMER SERVICES--4.2% 1,798 Career Education Corp. (b) 32,975 679 DeVry, Inc. 38,574 220 ITT Educational Services, Inc. (b) 19,488 1,844 Service Corp. International 17,647 174 Strayer Education, Inc. 38,750 ------------- 147,434 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.3% 451 Dolby Laboratories, Inc., Class A (b) 18,351 775 Tech Data Corp. (b) 27,024 ------------- 45,375 ------------- ENERGY EQUIPMENT & SERVICES--0.9% 523 IHS, Inc., Class A (b) 32,546 ------------- FOOD & STAPLES RETAILING--2.2% 226 BJ's Wholesale Club, Inc. (b) 8,482 519 Costco Wholesale Corp. 32,531 647 Wal-Mart Stores, Inc. 37,927 ------------- 78,940 ------------- HOTELS, RESTAURANTS & LEISURE--9.9% 2,895 Boyd Gaming Corp. 28,892 464 Brinker International, Inc. 8,533 326 Burger King Holdings, Inc. 8,747 1,379 Carnival Corp. 50,940 822 Darden Restaurants, Inc. 26,773 224 International Speedway Corp., Class A 8,241 156 McDonald's Corp. 9,327 1,073 MGM MIRAGE (b) 31,138 983 Panera Bread Co., Class A (b) 49,248 2,023 Royal Caribbean Cruises Ltd. 51,546 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 614 Scientific Games Corp., Class A (b) $ 18,629 668 Wendy's International, Inc. 15,331 2,030 Wyndham Worldwide Corp. 36,418 250 Yum! Brands, Inc. 8,955 ------------- 352,718 ------------- HOUSEHOLD DURABLES--7.2% 632 Black & Decker (The) Corp. 37,933 635 Harman International Industries, Inc. 26,143 480 Jarden Corp. (b) 11,534 709 Mohawk Industries, Inc. (b) 41,810 1,564 Newell Rubbermaid, Inc. 25,853 350 Snap-on, Inc. 19,702 811 Stanley Works (The) 36,073 736 Whirlpool Corp. 55,715 ------------- 254,763 ------------- HOUSEHOLD PRODUCTS--0.2% 146 Kimberly-Clark Corp. 8,443 ------------- INTERNET & CATALOG RETAIL--2.3% 248 Amazon.com, Inc. (b) 18,932 989 Expedia, Inc. (b) 19,355 1,231 Liberty Media Corp. - Interactive, Class A (b) 17,271 227 Priceline.com, Inc. (b) 26,094 ------------- 81,652 ------------- INTERNET SOFTWARE & SERVICES--1.8% 35 Google, Inc., Class A (b) 16,581 645 Sohu.com, Inc. (b) 48,685 ------------- 65,266 ------------- IT SERVICES--2.9% 1,116 Accenture Ltd., Class A 46,604 3,059 Convergys Corp. (b) 38,849 474 Hewitt Associates, Inc., Class A (b) 17,467 ------------- 102,920 ------------- LEISURE EQUIPMENT & PRODUCTS--2.3% 1,273 Hasbro, Inc. 49,290 1,534 Mattel, Inc. 30,757 ------------- 80,047 ------------- MEDIA--15.5% 1,866 CBS Corp., Class B 30,528 96 Central European Media Enterprises Ltd., Class A (b) 7,992 491 Clear Channel Outdoor Holdings, Inc., Class A (b) 7,836 1,404 DIRECTV Group (The), Inc. (b) 37,936 1,220 DreamWorks Animation SKG, Inc., Class A (b) 36,234 2,098 Gannett Co., Inc. 38,016 456 Hearst-Argyle Television, Inc. 9,649 2,114 Interpublic Group of Cos., Inc. (b) 18,582 808 John Wiley & Sons, Inc., Class A 36,635 279 Liberty Global, Inc., Class A (b) 8,044 |
See Notes to Financial Statements Page 39
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 3,156 Liberty Media Corp. - Capital, Series A (b) $ 49,044 1,606 Meredith Corp. 41,049 3,023 News Corp., Class A 42,715 405 Omnicom Group, Inc. 17,289 991 Time Warner Cable, Inc., Class A (b) 28,174 3,071 Time Warner, Inc. 43,977 595 Viacom, Inc., Class B (b) 16,618 1,930 Virgin Media, Inc. 21,655 583 Walt Disney (The) Co. 17,694 3,679 Warner Music Group Corp. 30,683 15 Washington Post (The) Co., Class B 9,274 ------------- 549,624 ------------- MULTILINE RETAIL--8.2% 1,164 Big Lots, Inc. (b) 35,455 804 Dollar Tree, Inc. (b) 30,150 1,317 Family Dollar Stores, Inc. 30,686 1,253 J. C. Penney Co., Inc. 38,630 909 Kohl's Corp. (b) 38,096 2,341 Macy's, Inc. 44,035 1,656 Saks, Inc. (b) 16,875 494 Sears Holdings Corp. (b) 40,014 391 Target Corp. 17,685 ------------- 291,626 ------------- PERSONAL PRODUCTS--1.5% 692 Alberto-Culver Co. 18,566 243 Avon Products, Inc. 10,303 565 Estee Lauder (The) Cos., Inc., Class A 24,917 ------------- 53,786 ------------- ROAD & RAIL--1.5% 3,138 Avis Budget Group, Inc. (b) 19,142 3,788 Hertz Global Holdings, Inc. (b) 32,311 ------------- 51,453 ------------- SOFTWARE--1.4% 1,334 Activision Blizzard, Inc. (b) 47,997 ------------- SPECIALTY RETAIL--22.5% 676 Advance Auto Parts, Inc. 27,777 3,335 American Eagle Outfitters, Inc. 46,690 1,518 AnnTaylor Stores Corp. (b) 34,231 4,536 AutoNation, Inc. (b) 46,812 150 AutoZone, Inc. (b) 19,544 1,464 Barnes & Noble, Inc. 34,638 935 Bed Bath & Beyond, Inc. (b) 26,021 221 Best Buy Co., Inc. 8,778 1,460 Foot Locker, Inc. 21,988 216 GameStop Corp., Class A (b) 8,750 1,575 Gap (The), Inc. 25,389 234 Guess?, Inc. 7,411 1,121 Home Depot (The), Inc. 26,713 2,698 Limited Brands, Inc. 44,490 1,753 Lowe's Cos., Inc. 35,621 4,155 Office Depot, Inc. (b) 28,254 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 3,270 OfficeMax, Inc. $ 41,725 1,627 O'Reilly Automotive, Inc. (b) 41,554 1,781 Penske Automotive Group, Inc. 23,687 439 PetSmart, Inc. 9,970 3,705 RadioShack Corp. 61,799 1,280 Ross Stores, Inc. 48,589 1,106 Staples, Inc. 24,885 215 Tiffany & Co. 8,125 835 TJX (The) Cos., Inc. 28,148 842 Urban Outfitters, Inc. (b) 27,794 2,291 Williams-Sonoma, Inc. 39,955 ------------- 799,338 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.9% 670 Hanesbrands, Inc. (b) 14,365 636 Jones Apparel Group, Inc. 10,647 146 NIKE, Inc., Class B 8,567 717 Phillips-Van Heusen Corp. 25,382 290 Polo Ralph Lauren Corp. 17,159 369 VF Corp. 26,413 ------------- 102,533 ------------- TRADING COMPANIES & DISTRIBUTORS--1.8% 421 Fastenal Co. 20,570 412 MSC Industrial Direct Co., Inc., Class A 19,652 656 WESCO International, Inc. (b) 24,699 ------------- 64,921 ------------- TOTAL COMMON STOCKS--99.7% (Cost $3,782,790) 3,537,079 MONEY MARKET FUND--2.7% 94,456 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $94,456) 94,456 ------------- TOTAL INVESTMENTS--102.4% (Cost $3,877,246) (d) 3,631,535 NET OTHER ASSETS AND LIABILITIES--(2.4%) (84,927) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $3,929,025. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $105,441 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $402,931.
Page 40 See Notes to Financial Statements
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.8% BEVERAGES--25.6% 1,594 Anheuser-Busch Cos., Inc. $ 108,009 983 Brown-Forman Corp., Class B 70,737 5,724 Coca-Cola Enterprises, Inc. 96,907 6,883 Dr. Pepper Snapple Group, Inc. (b) 142,272 911 Molson Coors Brewing Co., Class B 49,167 1,773 Pepsi Bottling Group (The), Inc. 49,378 7,300 PepsiAmericas, Inc. 172,791 ------------- 689,261 ------------- FOOD & STAPLES RETAILING--16.0% 5,002 Kroger (The) Co. 141,456 3,468 Safeway, Inc. 92,665 4,675 SUPERVALU, Inc. 119,774 900 Sysco Corp. 25,524 1,523 Walgreen Co. 52,300 ------------- 431,719 ------------- FOOD PRODUCTS--37.8% 740 Campbell Soup Co. 26,921 5,136 ConAgra Foods, Inc. 111,348 1,262 Dean Foods Co. (b) 26,881 13,946 Del Monte Foods Co. 118,402 815 General Mills, Inc. 52,478 1,552 H.J. Heinz Co. 78,190 2,146 Hormel Foods Corp. 77,621 1,827 J.M. Smucker (The) Co. 89,048 870 Kraft Foods, Inc., Class A 27,683 694 McCormick & Co., Inc. 27,829 4,042 Sara Lee Corp. 55,214 4,981 Smithfield Foods, Inc. (b) 106,992 4,971 Tyson Foods, Inc., Class A 74,068 1,857 Wm. Wrigley Jr. Co. 146,628 ------------- 1,019,303 ------------- HOUSEHOLD PRODUCTS--4.7% 1,318 Church & Dwight Co., Inc. 72,319 358 Colgate-Palmolive Co. 26,589 407 Procter & Gamble (The) Co. 26,650 ------------- 125,558 ------------- PERSONAL PRODUCTS--7.8% 1,278 Herbalife Ltd. 55,197 4,504 NBTY, Inc. (b) 155,343 ------------- 210,540 ------------- TOBACCO--8.9% 3,612 Altria Group, Inc. 73,504 716 Lorillard, Inc. (b) 48,051 2,122 Reynolds American, Inc. 118,471 ------------- 240,026 ------------- |
SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS--100.8% (Cost $2,740,433) $ 2,716,407 MONEY MARKET FUND--2.0% 53,001 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $53,001) 53,001 ------------- TOTAL INVESTMENTS--102.8% (Cost $2,793,434) (d) 2,769,408 NET OTHER ASSETS AND LIABILITIES -- (2.8%) (74,879) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $2,812,701. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $146,963 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $190,256.
See Notes to Financial Statements Page 41
FIRST TRUST ENERGY ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.3% ENERGY EQUIPMENT & SERVICES--39.5% 2,770 Atwood Oceanics, Inc. (b) $ 127,171 607 Baker Hughes, Inc. 50,326 4,148 Cameron International Corp. (b) 198,108 381 Diamond Offshore Drilling, Inc. 45,453 1,422 ENSCO International, Inc. 98,317 3,730 FMC Technologies, Inc. (b) 230,439 4,326 Halliburton Co. 193,891 2,757 Helix Energy Solutions Group, Inc. (b) 88,031 5,911 Key Energy Services, Inc. (b) 94,931 1,076 Nabors Industries Ltd. (b) 39,231 2,588 National Oilwell Varco, Inc. (b) 203,494 2,651 Noble Corp. 137,508 2,979 Oceaneering International, Inc. (b) 180,647 4,523 Oil States International, Inc. (b) 248,222 1,470 Patterson-UTI Energy, Inc. 41,777 3,641 Pride International, Inc. (b) 141,125 3,683 Rowan Cos., Inc. 146,583 493 Schlumberger Ltd. 50,089 3,206 SEACOR Holdings, Inc. (b) 268,247 2,071 Smith International, Inc. 154,041 5,204 Superior Energy Services, Inc. (b) 246,826 2,234 TETRA Technologies, Inc. (b) 42,290 348 Transocean, Inc. (b) 47,338 1,383 Unit Corp. (b) 93,422 3,472 Weatherford International Ltd. (b) 130,999 ------------- 3,298,506 ------------- GAS UTILITIES--0.5% 767 Equitable Resources, Inc. 40,076 ------------- OIL, GAS & CONSUMABLE FUELS--60.3% 1,101 Alpha Natural Resources, Inc. (b) 108,944 2,301 Anadarko Petroleum Corp. 133,251 381 Apache Corp. 42,737 706 Arch Coal, Inc. 39,755 1,740 Chesapeake Energy Corp. 87,261 1,737 Chevron Corp. 146,881 3,295 Cimarex Energy Co. 171,702 1,824 ConocoPhillips 148,875 471 CONSOL Energy, Inc. 35,038 3,312 Continental Resources, Inc. (b) 189,181 6,290 Denbury Resources, Inc. (b) 177,001 7,920 El Paso Corp. 142,006 3,816 Encore Acquisition Co. (b) 236,095 404 EOG Resources, Inc. 40,614 1,296 Foundation Coal Holdings, Inc. 76,982 2,274 Hess Corp. 230,584 5,532 Marathon Oil Corp. 273,667 6,210 Mariner Energy, Inc. (b) 164,317 1,224 Massey Energy Co. 90,882 2,927 Murphy Oil Corp. 233,369 1,141 Noble Energy, Inc. 84,286 1,916 Occidental Petroleum Corp. 151,038 4,957 Petrohawk Energy Corp. (b) 165,167 SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 3,146 Plains Exploration & Production Co. (b) $ 176,082 2,971 Quicksilver Resources, Inc. (b) 77,721 808 Range Resources Corp. 39,236 4,822 Southwestern Energy Co. (b) 175,087 4,439 St. Mary Land & Exploration Co. 188,924 2,821 Sunoco, Inc. 114,561 14,515 Tesoro Corp. 224,112 6,968 Valero Energy Corp. 232,801 4,904 W&T Offshore, Inc. 217,051 2,164 Whiting Petroleum Corp. (b) 202,702 4,271 Williams (The) Cos., Inc. 136,886 1,675 XTO Energy, Inc. 79,110 ------------- 5,033,906 ------------- TOTAL COMMON STOCKS--100.3% (Cost $9,438,908) 8,372,488 MONEY MARKET FUND--0.5% 38,061 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $38,061) 38,061 ------------- TOTAL INVESTMENTS--100.8% (Cost $9,476,969) (d) 8,410,549 NET OTHER ASSETS AND LIABILITIES--(0.8%) (63,553) ------------- NET ASSETS--100.0% $ 8,346,996 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $9,596,550. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $54,941 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,240,942.
Page 42 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--99.8% CAPITAL MARKETS--9.9% 40 Affiliated Managers Group, Inc. (b) $ 3,456 178 Ameriprise Financial, Inc. 7,565 95 Bank of New York Mellon Corp. 3,373 41 BlackRock, Inc. 8,885 352 Charles Schwab (The) Corp. 8,057 281 Eaton Vance Corp. 10,436 105 Federated Investors, Inc., Class B 3,450 122 Franklin Resources, Inc. 12,274 64 Goldman Sachs Group (The) Inc. 11,779 301 Invesco Ltd. 7,010 334 Investment Technology Group, Inc. (b) 9,933 422 Janus Capital Group, Inc. 12,803 211 Lazard Ltd., Class A 8,611 166 Legg Mason, Inc. 6,698 940 Lehman Brothers Holdings, Inc. (e) 16,301 163 Northern Trust Corp. 12,742 137 Raymond James Financial, Inc. 3,959 56 State Street Corp. 4,012 198 T. Rowe Price Group, Inc. 11,850 399 TD Ameritrade Holding Corp. (b) 7,944 413 Waddell & Reed Financial, Inc., Class A 13,794 ------------- 184,932 ------------- COMMERCIAL BANKS--21.3% 749 Associated Banc-Corp. 12,501 639 BancorpSouth, Inc. 13,611 634 BB&T Corp. 17,765 68 BOK Financial Corp. 2,720 266 City National Corp. 13,069 727 Comerica, Inc. 20,878 91 Commerce Bancshares, Inc. 3,970 72 Cullen/Frost Bankers, Inc. 3,797 1,829 Fifth Third Bancorp 25,550 80 First Citizens BancShares, Inc., Class A 11,320 1,112 Fulton Financial Corp. 11,720 2,503 Huntington Bancshares, Inc. 17,571 1,696 KeyCorp 17,893 158 M&T Bank Corp. 11,120 1,215 Marshall & Ilsley Corp. 18,468 2,342 National City Corp. 11,078 126 PNC Financial Services Group, Inc. 8,983 548 Popular, Inc. 3,765 1,707 Regions Financial Corp. 16,182 399 SunTrust Banks, Inc. 16,383 1,655 Synovus Financial Corp. 15,739 1,201 TCF Financial Corp. 15,313 129 U.S. Bancorp 3,949 276 UnionBanCal Corp. 14,827 1,199 Wachovia Corp. 20,707 777 Webster Financial Corp. 15,431 304 Wells Fargo & Co. 9,202 789 Whitney Holding Corp. 16,222 423 Wilmington Trust Corp. 9,970 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 591 Zions Bancorporation $ 17,299 ------------- 397,003 ------------- COMMERCIAL SERVICES & SUPPLIES--0.8% 82 Dun & Bradstreet (The) Corp. 7,925 215 Equifax, Inc. 7,544 ------------- 15,469 ------------- CONSUMER FINANCE--3.5% 2,160 AmeriCredit Corp. (b) 18,944 490 Capital One Financial Corp. 20,512 1,097 Discover Financial Services 16,071 373 SLM Corp. (b) 6,389 37 Student Loan (The) Corp. 4,030 ------------- 65,946 ------------- DIVERSIFIED CONSUMER SERVICES--0.9% 675 H&R Block, Inc. 16,423 ------------- DIVERSIFIED FINANCIAL SERVICES--5.6% 605 Bank of America Corp. 19,905 2,734 CIT Group, Inc. 23,184 9 CME Group, Inc. 3,241 421 JPMorgan Chase & Co. 17,105 77 Leucadia National Corp. 3,447 210 Moody's Corp. 7,310 701 NASDAQ Stock Market, Inc. (b) 19,467 221 NYSE Euronext 10,440 ------------- 104,099 ------------- HEALTH CARE PROVIDERS & SERVICES--0.4% 204 CIGNA Corp. 7,552 ------------- INSURANCE--34.1% 262 ACE Ltd. 13,283 178 Aflac, Inc. 9,899 44 Alleghany Corp. (b) 13,872 470 Allied World Assurance Holdings Ltd. 19,557 317 Allstate (The) Corp. 14,652 540 American Financial Group, Inc. 15,644 114 American National Insurance Co. 10,773 79 Aon Corp. 3,618 281 Arch Capital Group Ltd. (b) 19,594 150 Arthur J. Gallagher & Co. 3,815 55 Assurant, Inc. 3,307 625 Axis Capital Holdings Ltd. 19,800 831 Brown & Brown, Inc. 14,601 380 Chubb (The) Corp. 18,255 733 Cincinnati Financial Corp. 20,407 574 CNA Financial Corp. 15,320 1,126 Conseco, Inc. (b) 9,436 605 Endurance Specialty Holdings Ltd. 18,513 157 Erie Indemnity Co., Class A 6,861 234 Everest Re Group Ltd. 19,141 |
See Notes to Financial Statements Page 43
FIRST TRUST FINANCIALS ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 573 Fidelity National Financial, Inc., Class A $ 7,655 137 First American Corp. 3,452 811 Genworth Financial, Inc., Class A 12,952 340 Hanover Insurance Group, Inc. 14,593 224 Hartford Financial Services Group (The), Inc. 14,199 881 HCC Insurance Holdings, Inc. 19,955 247 Lincoln National Corp. 11,782 154 Loews Corp. 6,862 30 Markel Corp. (b) 10,890 155 Mercury General Corp. 7,829 212 MetLife, Inc. 10,763 75 Nationwide Financial Services, Class A 3,476 305 Old Republic International Corp. 3,203 636 OneBeacon Insurance Group Ltd. 11,512 269 PartnerRe Ltd. 18,916 548 Philadelphia Consolidated Holding Co. (b) 32,030 86 Principal Financial Group, Inc. 3,656 386 Progressive (The) Corp. 7,817 190 Protective Life Corp. 6,832 187 Prudential Financial, Inc. 12,897 257 Reinsurance Group of America, Inc. 12,773 417 RenaissanceRe Holdings Ltd. 21,213 215 SAFECO Corp. 14,224 154 StanCorp Financial Group, Inc. 7,606 123 Torchmark Corp. 7,140 256 Transatlantic Holdings, Inc. 14,833 429 Travelers (The) Cos., Inc. 18,927 405 Unitrin, Inc. 11,174 546 Unum Group 13,191 771 W.R. Berkley Corp. 18,211 8 White Mountains Insurance Group Ltd. 3,492 ------------- 634,403 ------------- IT SERVICES--5.9% 128 Alliance Data Systems Corp. (b) 8,211 172 Automatic Data Processing, Inc. 7,346 686 Broadridge Financial Solutions, Inc. 14,200 338 DST Systems, Inc. (b) 20,425 514 Fidelity National Information Services, Inc. 9,740 80 Fiserv, Inc. (b) 3,826 310 Global Payments, Inc. 13,730 70 MasterCard, Inc., Class A 17,091 584 Western Union Co. 16,142 ------------- 110,711 ------------- MEDIA--0.7% 201 Morningstar, Inc. (b) 12,655 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--10.2% 72 AMB Property Corp. $ 3,525 466 Annaly Capital Management, Inc. 7,023 113 Apartment Investment & Management Co., Class A 3,861 229 Brandywine Realty Trust 3,675 104 Developers Diversified Realty Corp. 3,324 455 Digital Realty Trust, Inc. 19,524 68 Essex Property Trust, Inc. 8,252 52 Federal Realty Investment Trust 3,776 351 HCP, Inc. 12,661 325 Health Care REIT, Inc. 16,208 591 Hospitality Properties Trust 12,588 1,058 Host Hotels & Resorts, Inc. 13,870 1,067 HRPT Properties Trust 7,480 1,093 iStar Financial, Inc. 8,974 355 Nationwide Health Properties, Inc. 13,174 169 Plum Creek Timber Co., Inc. 8,234 66 ProLogis 3,226 89 Public Storage 7,288 170 Rayonier, Inc. 7,942 40 Simon Property Group, Inc. 3,705 148 Taubman Centers, Inc. 7,104 262 Ventas, Inc. 11,753 119 Weingarten Realty Investors 3,628 ------------- 190,795 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--1.1% 376 CB Richard Ellis Group, Inc., Class A (b) 5,283 309 Jones Lang LaSalle, Inc. 14,721 ------------- 20,004 ------------- ROAD & RAIL--1.0% 270 Ryder System, Inc. 17,809 ------------- SOFTWARE--0.6% 198 FactSet Research Systems, Inc. 11,419 ------------- THRIFTS & MORTGAGE FINANCE--1.9% 180 Astoria Financial Corp. 4,027 96 Capitol Federal Financial 3,882 866 Hudson City Bancorp, Inc. 15,814 202 New York Community Bancorp, Inc. 3,357 399 Washington Federal, Inc. 7,421 ------------- 34,501 ------------- TRADING COMPANIES & DISTRIBUTORS--1.9% 420 GATX Corp. 19,097 950 United Rentals, Inc. (b) 15,371 ------------- 34,468 ------------- TOTAL COMMON STOCKS--99.8% (Cost $2,122,408) 1,858,189 |
Page 44 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(TM) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- MONEY MARKET FUND--4.4% 80,762 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $80,762) $ 80,762 ------------- TOTAL INVESTMENTS--104.2% (Cost $2,203,170) (d) 1,938,951 NET OTHER ASSETS AND LIABILITIES -- (4.2%) (77,466) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $2,232,022. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $68,049 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $361,120.
(e) This company filed for protection in federal bankruptcy court subsequent to the date of this report.
See Notes to Financial Statements Page 45
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.3% BIOTECHNOLOGY--10.4% 1,630 Amgen, Inc. (b) $ 102,087 641 Biogen Idec, Inc. (b) 44,716 1,240 BioMarin Pharmaceutical, Inc. (b) 40,362 2,408 Celgene Corp. (b) 181,780 1,420 Genentech, Inc. (b) 135,255 1,495 Genzyme Corp. (b) 114,592 2,906 Gilead Sciences, Inc. (b) 156,866 3,216 Vertex Pharmaceuticals, Inc. (b) 110,952 ------------- 886,610 ------------- COMMERCIAL SERVICES & SUPPLIES--1.0% 1,487 Stericycle, Inc. (b) 88,848 ------------- FOOD & STAPLES RETAILING--2.1% 4,858 CVS Caremark Corp. 177,317 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--15.8% 1,684 Baxter International, Inc. 115,539 1,594 Beckman Coulter, Inc. 115,310 946 Becton, Dickinson and Co. 80,325 3,099 Edwards Lifesciences Corp. (b) 194,245 7,126 Hill-Rom Holdings, Inc. 200,170 2,684 Hospira, Inc. (b) 102,421 737 IDEXX Laboratories, Inc. (b) 39,430 134 Intuitive Surgical, Inc. (b) 41,713 1,081 Inverness Medical Innovations, Inc. (b) 36,441 1,486 Medtronic, Inc. 78,505 1,881 St. Jude Medical, Inc. (b) 87,617 570 Stryker Corp. 36,588 2,966 Varian Medical Systems, Inc. (b) 177,960 529 Zimmer Holdings, Inc. (b) 36,453 ------------- 1,342,717 ------------- HEALTH CARE PROVIDERS & SERVICES--37.7% 1,898 Aetna, Inc. 77,837 1,924 AmerisourceBergen Corp. 80,558 695 Cardinal Health, Inc. 37,342 5,829 Community Health Systems, Inc. (b) 192,240 6,321 Coventry Health Care, Inc. (b) 223,574 2,026 DaVita, Inc. (b) 113,152 1,226 Express Scripts, Inc. (b) 86,482 23,626 Health Management Associates, Inc., Class A (b) 145,300 2,088 Henry Schein, Inc. (b) 111,833 4,835 Humana, Inc. (b) 212,305 515 Laboratory Corp. of America Holdings (b) 34,804 6,793 LifePoint Hospitals, Inc. (b) 194,484 6,770 Lincare Holdings, Inc. (b) 218,129 2,750 McKesson Corp. 153,973 4,073 Medco Health Solutions, Inc. (b) 201,939 5,866 Omnicare, Inc. 172,695 1,562 Pediatrix Medical Group, Inc. (b) 75,991 2,222 Quest Diagnostics, Inc. 118,122 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 27,664 Tenet Healthcare Corp. (b) $ 160,175 7,324 UnitedHealth Group, Inc. 205,658 1,703 Universal Health Services, Inc., Class B 103,236 2,127 WellCare Health Plans, Inc. (b) 83,655 4,034 WellPoint, Inc. (b) 211,583 ------------- 3,215,067 ------------- HEALTH CARE TECHNOLOGY--3.7% 794 Cerner Corp. (b) 35,460 16,985 HLTH Corp. (b) 185,816 4,620 IMS Health, Inc. 96,558 ------------- 317,834 ------------- LIFE SCIENCES TOOLS & SERVICES--12.6% 2,406 Charles River Laboratories International, Inc. (b) 159,903 1,789 Covance, Inc. (b) 164,230 2,207 Illumina, Inc. (b) 205,780 916 Invitrogen Corp. (b) 40,625 1,134 Millipore Corp. (b) 79,777 2,511 Pharmaceutical Product Development, Inc. 95,770 1,988 Techne Corp. (b) 158,086 2,759 Thermo Fisher Scientific, Inc. (b) 166,974 ------------- 1,071,145 ------------- PHARMACEUTICALS--17.0% 677 Abbott Laboratories 38,142 1,706 Barr Pharmaceuticals, Inc. (b) 112,562 1,666 Eli Lilly and Co. 78,485 4,450 Endo Pharmaceuticals Holdings, Inc. (b) 103,018 4,428 Forest Laboratories, Inc. (b) 157,238 1,196 Johnson & Johnson 81,890 18,363 King Pharmaceuticals, Inc. (b) 211,359 953 Merck & Co., Inc. 31,354 8,919 Mylan, Inc. (b) 115,679 3,389 Perrigo Co. 119,394 8,805 Pfizer, Inc. 164,389 1,822 Schering-Plough Corp. 38,408 5,662 Watson Pharmaceuticals, Inc. (b) 163,688 748 Wyeth 30,309 ------------- 1,445,915 ------------- TOTAL COMMON STOCKS--100.3% (Cost $8,192,930) 8,545,453 MONEY MARKET FUND--0.7% 56,038 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $56,038) 56,038 ------------- |
Page 46 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS--101.0% (Cost $8,248,968) (d) $ 8,601,491 NET OTHER ASSETS AND LIABILITIES--(1.0%) (80,923) ------------- NET ASSETS--100.0% $ 8,520,568 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $8,405,238. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $450,924 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $254,671.
See Notes to Financial Statements Page 47
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.1% AEROSPACE & DEFENSE--12.1% 787 Alliant Techsystems, Inc. (b) $ 77,905 3,436 BE Aerospace, Inc. (b) 88,237 595 Lockheed Martin Corp. 62,076 1,196 Northrop Grumman Corp. 80,598 474 Raytheon Co. 26,985 7,650 Spirit AeroSystems Holdings, Inc., Class A (b) 165,700 432 United Technologies Corp. 27,639 ------------- 529,140 ------------- COMMERCIAL SERVICES & SUPPLIES--4.0% 1,000 Covanta Holding Corp. (b) 28,140 14,629 Steelcase, Inc., Class A 145,705 ------------- 173,845 ------------- COMMUNICATIONS EQUIPMENT--2.8% 2,781 CommScope, Inc. (b) 124,005 ------------- COMPUTERS & PERIPHERALS--4.1% 750 Diebold, Inc. 27,735 4,389 Lexmark International, Inc., Class A (b) 153,966 ------------- 181,701 ------------- ELECTRICAL EQUIPMENT--15.3% 1,695 AMETEK, Inc. 81,123 2,972 Cooper Industries Ltd., Class A 125,329 539 Emerson Electric Co. 26,249 1,315 General Cable Corp. (b) 75,783 2,944 Hubbell, Inc., Class B 124,119 1,782 Roper Industries, Inc. 109,023 3,101 Thomas & Betts Corp. (b) 128,320 ------------- 669,946 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--5.8% 1,651 Agilent Technologies, Inc. (b) 59,535 1,492 Itron, Inc. (b) 137,757 2,404 Molex, Inc. 58,970 ------------- 256,262 ------------- HOUSEHOLD DURABLES--3.0% 235 NVR, Inc. (b) 129,795 ------------- LIFE SCIENCES TOOLS & SERVICES--0.6% 414 Waters Corp. (b) 28,127 ------------- MACHINERY--40.9% 1,120 AGCO Corp. (b) 67,032 2,009 Bucyrus International, Inc. 140,650 795 Caterpillar, Inc. 55,268 2,239 Cummins, Inc. 148,535 759 Danaher Corp. 60,454 370 Deere & Co. 25,959 2,630 Donaldson Co., Inc. 118,639 1,655 Dover Corp. 82,138 1,073 Flowserve Corp. 143,074 1,033 Gardner Denver, Inc. (b) 47,105 2,172 IDEX Corp. 82,167 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MACHINERY (CONTINUED) 562 Illinois Tool Works, Inc. $ 26,330 2,138 Ingersoll-Rand Co. Ltd., Class A 76,968 1,853 ITT Corp. 124,077 1,548 Joy Global, Inc. 111,797 2,459 Kennametal, Inc. 73,180 1,492 Lincoln Electric Holdings, Inc. 119,882 1,479 Pall Corp. 59,781 1,122 Parker Hannifin Corp. 69,205 762 Pentair, Inc. 26,380 2,856 Terex Corp. (b) 135,174 ------------- 1,793,795 ------------- OFFICE ELECTRONICS--0.6% 1,967 Xerox Corp. 26,830 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--6.2% 655 KLA-Tencor Corp. 24,621 4,059 Lam Research Corp. (b) 133,501 5,539 Novellus Systems, Inc. (b) 112,829 ------------- 270,951 ------------- TRADING COMPANIES & DISTRIBUTORS--1.5% 717 W.W. Grainger, Inc. 64,179 ------------- WIRELESS TELECOMMUNICATION SERVICES--3.2% 2,066 Crown Castle International Corp. (b) 78,921 1,630 SBA Communications Corp. (b) 61,761 ------------- 140,682 ------------- TOTAL COMMON STOCKS--100.1% (Cost $4,414,451) 4,389,258 MONEY MARKET FUND--1.6% 72,046 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $72,046) 72,046 ------------- TOTAL INVESTMENTS--101.7% (Cost $4,486,497) (d) 4,461,304 NET OTHER ASSETS AND LIABILITIES--(1.7%) (76,816) ------------- NET ASSETS--100.0% $ 4,384,488 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $4,488,304. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $247,095 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $274,095.
Page 48 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% BUILDING PRODUCTS--3.0% 3,912 Armstrong World Industries, Inc. (b) $ 131,873 1,166 Owens Corning, Inc. (b) 30,328 ------------- 162,201 ------------- CHEMICALS--30.6% 579 Air Products and Chemicals, Inc. 55,127 2,447 Airgas, Inc. 140,164 1,651 Ashland, Inc. 68,962 3,273 Cabot Corp. 87,815 2,503 Celanese Corp., Class A 96,441 935 CF Industries Holdings, Inc. 152,834 4,543 Chemtura Corp. 29,620 1,460 Cytec Industries, Inc. 78,928 2,281 Dow Chemical (The) Co. 75,980 619 E.I. du Pont de Nemours and Co. 27,118 1,476 FMC Corp. 109,770 2,467 Lubrizol (The) Corp. 122,857 630 Monsanto Co. 75,039 790 Mosaic (The) Co. (b) 100,496 462 PPG Industries, Inc. 28,016 606 Praxair, Inc. 56,800 571 Rohm and Haas Co. 42,825 2,773 RPM International, Inc. 56,847 2,896 Terra Industries, Inc. 156,383 2,097 Valhi, Inc. 47,937 3,022 Valspar (The) Corp. 65,487 ------------- 1,675,446 ------------- COMMERCIAL SERVICES & SUPPLIES--0.5% 605 Avery Dennison Corp. 26,626 ------------- CONSTRUCTION & ENGINEERING--13.1% 4,392 Aecom Technology Corp. (b) 125,040 1,534 Fluor Corp. 124,791 986 Jacobs Engineering Group, Inc. (b) 76,257 1,637 KBR, Inc. 46,655 4,294 Quanta Services, Inc. (b) 132,599 2,312 Shaw Group (The), Inc. (b) 133,634 1,896 URS Corp. (b) 79,480 ------------- 718,456 ------------- CONSTRUCTION MATERIALS--2.5% 4,513 Eagle Materials, Inc. 111,968 444 Vulcan Materials Co. 28,500 ------------- 140,468 ------------- CONTAINERS & PACKAGING--17.3% 1,897 AptarGroup, Inc. 73,414 1,197 Ball Corp. 53,362 5,098 Bemis Co., Inc. 143,560 3,062 Crown Holdings, Inc. (b) 85,828 892 Greif, Inc., Class A 54,269 2,657 Packaging Corp. of America 67,807 2,692 Pactiv Corp. (b) 64,904 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 4,187 Sealed Air Corp. $ 90,858 14,043 Smurfit-Stone Container Corp. (b) 80,186 857 Sonoco Products Co. 27,955 12,678 Temple-Inland, Inc. 206,017 ------------- 948,160 ------------- FOOD PRODUCTS--2.7% 3,387 Archer-Daniels-Midland Co. 96,971 246 Bunge Ltd. 24,334 540 Corn Products International, Inc. 25,115 ------------- 146,420 ------------- INDUSTRIAL CONGLOMERATES--1.1% 1,286 McDermott International, Inc. (b) 61,304 ------------- MACHINERY--4.1% 487 Harsco Corp. 26,347 2,417 Timken (The) Co. 79,809 1,096 Valmont Industries, Inc. 117,173 ------------- 223,329 ------------- METALS & MINING--19.9% 2,071 AK Steel Holding Corp. 131,508 745 Alcoa, Inc. 25,144 2,618 Carpenter Technology Corp. 101,317 860 Century Aluminum Co. (b) 51,101 1,200 Cleveland-Cliffs, Inc. 130,091 704 Commercial Metals Co. 21,014 226 Freeport-McMoRan Copper & Gold, Inc. 21,866 1,526 Newmont Mining Corp. 73,187 1,531 Nucor Corp. 87,604 1,246 Schnitzer Steel Industries, Inc., Class A 112,439 3,657 Steel Dynamics, Inc. 115,854 8,170 Titanium Metals Corp. 91,994 774 United States Steel Corp. 124,119 ------------- 1,087,238 ------------- PAPER & FOREST PRODUCTS--5.2% 10,486 Domtar Corp. (b) 59,770 4,905 International Paper Co. 135,967 3,338 MeadWestvaco Corp. 89,492 ------------- 285,229 ------------- TOTAL COMMON STOCKS--100.0% (Cost $5,218,836) 5,474,877 MONEY MARKET FUND--1.4% 75,884 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $75,884) 75,884 ------------- |
See Notes to Financial Statements Page 49
FIRST TRUST MATERIALS ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2008 DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS--101.4% (Cost $5,294,720) (d) $ 5,550,761 NET OTHER ASSETS AND LIABILITIES--(1.4%) (76,780) ------------- NET ASSETS--100.0% $ 5,473,981 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $5,406,318. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $363,606 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $219,163.
Page 50 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.1% AEROSPACE & DEFENSE--1.4% 463 General Dynamics Corp. $ 41,272 857 L-3 Communications Holdings, Inc. 84,577 ------------- 125,849 ------------- COMMUNICATIONS EQUIPMENT--7.8% 25,199 Brocade Communications Systems, Inc. (b) 170,093 1,691 Corning, Inc. 33,837 4,385 F5 Networks, Inc. (b) 127,823 2,469 Harris Corp. 118,882 2,806 QUALCOMM, Inc. 155,284 16,747 Tellabs, Inc. (b) 86,080 ------------- 691,999 ------------- COMPUTERS & PERIPHERALS--16.7% 929 Apple, Inc. (b) 147,665 3,559 Dell, Inc. (b) 87,445 5,302 EMC Corp. (b) 79,583 2,816 Hewlett-Packard Co. 126,157 1,313 International Business Machines Corp. 168,038 3,088 NCR Corp. (b) 82,944 3,597 NetApp, Inc. (b) 91,903 5,336 QLogic Corp. (b) 100,530 8,328 SanDisk Corp. (b) 117,425 10,853 Seagate Technology 162,469 14,312 Sun Microsystems, Inc. (b) 152,137 6,012 Western Digital Corp. (b) 173,085 ------------- 1,489,381 ------------- ELECTRICAL EQUIPMENT--2.3% 572 First Solar, Inc. (b) 163,083 542 SunPower Corp., Class A (b) 42,693 ------------- 205,776 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--19.1% 3,469 Amphenol Corp., Class A 165,367 5,070 Arrow Electronics, Inc. (b) 163,355 7,612 Avnet, Inc. (b) 207,503 18,360 AVX Corp. 184,885 5,120 FLIR Systems, Inc. (b) 208,589 8,773 Ingram Micro, Inc., Class A (b) 161,686 9,490 Jabil Circuit, Inc. 154,307 1,372 National Instruments Corp. 46,717 5,817 Trimble Navigation Ltd. (b) 193,124 23,411 Vishay Intertechnology, Inc. (b) 209,998 ------------- 1,695,531 ------------- INTERNET SOFTWARE & SERVICES--2.9% 3,581 Akamai Technologies, Inc. (b) 83,581 1,745 Equinix, Inc. (b) 141,972 1,029 VeriSign, Inc. (b) 33,484 ------------- 259,037 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES--8.7% 2,913 Affiliated Computer Services, Inc., Class A (b) $ 140,407 3,832 Cognizant Technology Solutions Corp., Class A (b) 107,564 4,435 Computer Sciences Corp. (b) 210,086 5,055 Electronic Data Systems Corp. 125,415 9,980 SAIC, Inc. (b) 188,522 ------------- 771,994 ------------- LIFE SCIENCES TOOLS & SERVICES--2.8% 2,327 Applied Biosystems, Inc. 85,936 5,594 PerkinElmer, Inc. 162,786 ------------- 248,722 ------------- OFFICE ELECTRONICS--0.8% 2,387 Zebra Technologies Corp., Class A (b) 73,543 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--20.0% 6,677 Advanced Micro Devices, Inc. (b) 28,110 1,883 Altera Corp. 41,332 11,186 Atmel Corp. (b) 39,487 4,566 Broadcom Corp., Class A (b) 110,908 5,033 Cypress Semiconductor Corp. (b) 137,149 13,278 Fairchild Semiconductor International, Inc. (b) 161,328 7,834 Integrated Device Technology, Inc. (b) 78,497 5,799 Intel Corp. 128,680 10,813 International Rectifier Corp. (b) 182,523 3,204 Intersil Corp., Class A 77,313 1,197 Linear Technology Corp. 37,167 33,819 LSI Corp. (b) 234,703 11,758 Marvell Technology Group Ltd. (b) 173,901 6,487 Micron Technology, Inc. (b) 31,332 8,491 ON Semiconductor Corp. (b) 79,730 2,158 Silicon Laboratories, Inc. (b) 70,588 4,474 Varian Semiconductor Equipment Associates, Inc. (b) 130,730 1,542 Xilinx, Inc. 38,288 ------------- 1,781,766 ------------- SOFTWARE--17.6% 3,164 Adobe Systems, Inc. (b) 130,831 4,235 Amdocs Ltd. (b) 128,786 4,407 ANSYS, Inc. (b) 202,194 3,460 BMC Software, Inc. (b) 113,799 1,685 CA, Inc. 40,204 20,559 Cadence Design Systems, Inc. (b) 151,931 1,323 Citrix Systems, Inc. (b) 35,245 8,160 Compuware Corp. (b) 89,760 2,824 Intuit, Inc. (b) 77,180 2,288 McAfee, Inc. (b) 74,932 2,483 Nuance Communications Inc. (b) 38,536 5,931 Oracle Corp. (b) 127,694 6,021 Red Hat, Inc. (b) 128,729 |
See Notes to Financial Statements Page 51
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 2,281 Salesforce.com, Inc. (b) $ 145,505 2,014 Symantec Corp. (b) 42,435 1,626 Synopsys, Inc. (b) 39,057 ------------- 1,566,818 ------------- TOTAL COMMON STOCKS--100.1% (Cost $9,263,106) 8,910,416 MONEY MARKET FUND--0.8% 69,742 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $69,742) 69,742 ------------- TOTAL INVESTMENTS--100.9% (Cost $9,332,848) (d) 8,980,158 NET OTHER ASSETS AND LIABILITIES--(0.9%) (76,532) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $9,428,329. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $267,509 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $715,680.
Page 52 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--99.7% DIVERSIFIED TELECOMMUNICATION SERVICES--12.8% 4,172 AT&T, Inc. $ 128,540 5,528 CenturyTel, Inc. 205,587 743 Embarq Corp. 34,007 35,731 Level 3 Communications, Inc. (b) 121,485 26,821 Qwest Communications International, Inc. 102,724 1,985 Verizon Communications, Inc. 67,569 5,695 Windstream Corp. 67,884 ------------- 727,796 ------------- ELECTRIC UTILITIES--25.8% 3,493 American Electric Power Co., Inc. 137,974 1,332 DPL, Inc. 33,806 11,119 Duke Energy Corp. 195,472 684 Edison International 33,065 583 Entergy Corp. 62,334 1,172 Exelon Corp. 92,143 7,644 Great Plains Energy, Inc. 193,087 1,421 Hawaiian Electric Industries, Inc. 35,156 2,752 Northeast Utilities 69,240 5,479 Pepco Holdings, Inc. 136,646 6,280 Pinnacle West Capital Corp. 210,820 672 PPL Corp. 31,557 2,520 Progress Energy, Inc. 106,621 11,058 Sierra Pacific Resources 125,398 ------------- 1,463,319 ------------- GAS UTILITIES--8.7% 2,032 AGL Resources, Inc. 70,226 5,098 Atmos Energy Corp. 134,944 1,801 Energen Corp. 108,420 1,484 Questar Corp. 78,474 1,300 Southern Union Co. 33,956 2,448 UGI Corp. 66,243 ------------- 492,263 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--2.9% 10,060 AES (The) Corp. (b) 162,368 ------------- MEDIA--1.3% 3,704 Comcast Corp., Class A 76,376 ------------- MULTI-UTILITIES--40.8% 5,641 Alliant Energy Corp. 181,809 3,328 Ameren Corp. 136,748 6,567 CenterPoint Energy, Inc. 103,562 2,358 CMS Energy Corp. 31,833 4,944 Consolidated Edison, Inc. 196,278 2,220 Dominion Resources, Inc. 98,080 4,553 DTE Energy Co. 186,582 4,264 Energy East Corp. 106,557 691 Integrys Energy Group, Inc. 35,282 1,008 MDU Resources Group, Inc. 32,165 10,784 NiSource, Inc. 184,191 2,078 NSTAR 66,205 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 4,432 OGE Energy Corp. $ 145,015 2,656 PG&E Corp. 102,336 1,530 Public Service Enterprise Group, Inc. 63,954 5,858 Puget Energy, Inc. 161,329 3,798 SCANA Corp. 137,450 1,245 Sempra Energy 69,919 3,270 TECO Energy, Inc. 60,659 1,126 Vectren Corp. 32,879 777 Wisconsin Energy Corp. 35,058 7,003 Xcel Energy, Inc. 140,480 ------------- 2,308,371 ------------- WIRELESS TELECOMMUNICATION SERVICES--7.4% 2,220 NII Holdings, Inc. (b) 121,345 2,230 Telephone and Data Systems, Inc. 94,552 3,417 United States Cellular Corp. (b) 203,824 ------------- 419,721 ------------- TOTAL COMMON STOCKS --99.7% (Cost $5,843,721) 5,650,214 MONEY MARKET FUND--1.4% 81,429 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $81,429) 81,429 ------------- TOTAL INVESTMENTS --101.1% (Cost $5,925,150) (d) 5,731,643 NET OTHER ASSETS AND LIABILITIES--(1.1)% (65,013) ------------- NET ASSETS--100.0% $ 5,666,630 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $6,074,795. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $75,758 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $418,910.
See Notes to Financial Statements Page 53
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.0% 204 Boeing Co. (The) $ 12,466 637 General Dynamics Corp. 56,782 848 Goodrich Corp. 41,671 267 Honeywell International, Inc. 13,574 148 L-3 Communications Holdings, Inc. 14,606 408 Lockheed Martin Corp. 42,567 602 Northrop Grumman Corp. 40,569 278 Precision Castparts Corp. 25,974 477 Raytheon Co. 27,156 435 United Technologies Corp. 27,831 ------------- 303,196 ------------- AIR FREIGHT & LOGISTICS--1.0% 978 C.H. Robinson Worldwide, Inc. 47,140 936 Expeditors International of Washington, Inc. 33,237 851 FedEx Corp. 67,093 ------------- 147,470 ------------- AIRLINES--0.3% 3,086 Southwest Airlines Co. 48,111 ------------- AUTO COMPONENTS--0.4% 1,871 Johnson Controls, Inc. 56,429 ------------- AUTOMOBILES--0.3% 8,367 Ford Motor Co. (b) 40,162 ------------- BEVERAGES--1.5% 864 Anheuser-Busch Cos., Inc. 58,544 710 Brown-Forman Corp., Class B 51,092 258 Coca-Cola (The) Co. 13,287 3,102 Coca-Cola Enterprises, Inc. 52,517 494 Molson Coors Brewing Co., Class B 26,661 211 PepsiCo, Inc. 14,044 ------------- 216,145 ------------- BIOTECHNOLOGY--1.4% 284 Amgen, Inc. (b) 17,787 480 Biogen Idec, Inc. (b) 33,485 840 Celgene Corp. (b) 63,411 559 Genzyme Corp. (b) 42,847 1,013 Gilead Sciences, Inc. (b) 54,682 ------------- 212,212 ------------- BUILDING PRODUCTS--0.1% 853 Masco Corp. 14,066 ------------- CAPITAL MARKETS--1.8% 330 Ameriprise Financial, Inc. 14,025 653 Charles Schwab (The) Corp. 14,947 153 Goldman Sachs Group (The), Inc. 28,158 1,014 Janus Capital Group, Inc. 30,765 308 Legg Mason, Inc. 12,428 3,386 Lehman Brothers Holdings, Inc. (e) 58,713 587 Northern Trust Corp. 45,886 210 State Street Corp. 15,044 713 T. Rowe Price Group, Inc. 42,673 ------------- 262,639 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- CHEMICALS--3.6% 543 Air Products and Chemicals, Inc. $ 51,699 1,113 Ashland, Inc. 46,490 1,921 Dow Chemical (The) Co. 63,988 938 E.I. du Pont de Nemours & Co. 41,094 779 Eastman Chemical Co. 46,709 624 Ecolab, Inc. 27,893 792 Hercules, Inc. 15,880 343 International Flavors & Fragrances, Inc. 13,795 530 Monsanto Co. 63,128 701 PPG Industries, Inc. 42,509 569 Praxair, Inc. 53,332 578 Rohm and Haas Co. 43,350 498 Sigma-Aldrich Corp. 30,249 ------------- 540,116 ------------- COMMERCIAL BANKS--4.3% 2,357 BB&T Corp. 66,043 2,094 Comerica, Inc. 60,140 5,271 Fifth Third Bancorp 73,636 6,975 Huntington Bancshares, Inc. 48,965 6,109 KeyCorp 64,450 380 M&T Bank Corp. 26,744 3,500 Marshall & Ilsley Corp. 53,200 235 PNC Financial Services Group, Inc. 16,753 6,148 Regions Financial Corp. 58,283 741 SunTrust Banks, Inc. 30,425 3,455 Wachovia Corp. 59,668 1,130 Wells Fargo & Co. 34,205 1,704 Zions Bancorporation 49,876 ------------- 642,388 ------------- COMMERCIAL SERVICES & SUPPLIES--1.7% 3,189 Allied Waste Industries, Inc. (b) 38,587 611 Avery Dennison Corp. 26,890 2,024 Cintas Corp. 57,563 798 Equifax, Inc. 28,002 651 Monster Worldwide, Inc. (b) 11,549 393 Pitney Bowes, Inc. 12,454 452 R.R. Donnelley & Sons Co. 12,068 1,679 Robert Half International, Inc. 42,462 711 Waste Management, Inc. 25,269 ------------- 254,844 ------------- COMMUNICATIONS EQUIPMENT--0.9% 579 Ciena Corp. (b) 11,968 577 Cisco Systems, Inc. (b) 12,688 1,746 Corning, Inc. 34,937 1,209 QUALCOMM, Inc. 66,907 2,885 Tellabs, Inc. (b) 14,829 ------------- 141,329 ------------- COMPUTERS & PERIPHERALS--2.1% 320 Apple, Inc. (b) 50,864 1,839 Dell, Inc. (b) 45,184 913 EMC Corp. (b) 13,704 910 Hewlett-Packard Co. 40,768 |
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 453 International Business Machines Corp. $ 57,976 401 Lexmark International, Inc., Class A (b) 14,067 1,239 NetApp, Inc. (b) 31,656 4,932 Sun Microsystems, Inc. (b) 52,427 ------------- 306,646 ------------- CONSTRUCTION & ENGINEERING--0.7% 720 Fluor Corp. 58,572 665 Jacobs Engineering Group, Inc. (b) 51,431 ------------- 110,003 ------------- CONSTRUCTION MATERIALS--0.3% 673 Vulcan Materials Co. 43,200 ------------- CONSUMER FINANCE--0.8% 1,412 Capital One Financial Corp. 59,107 3,056 Discover Financial Services 44,770 693 SLM Corp. (b) 11,871 ------------- 115,748 ------------- CONTAINERS & PACKAGING--1.3% 1,124 Ball Corp. 50,108 2,992 Bemis Co., Inc. 84,255 2,823 Sealed Air Corp. 61,259 ------------- 195,622 ------------- DISTRIBUTORS--0.3% 1,014 Genuine Parts Co. 40,672 ------------- DIVERSIFIED CONSUMER SERVICES--0.3% 1,881 H&R Block, Inc. 45,765 ------------- DIVERSIFIED FINANCIAL SERVICES--1.5% 1,686 Bank of America Corp. 55,469 7,880 CIT Group, Inc. 66,823 1,173 JPMorgan Chase & Co. 47,659 1,143 Leucadia National Corp. 51,172 ------------- 221,123 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.9% 1,593 AT&T, Inc. 49,081 1,885 CenturyTel, Inc. 70,104 568 Embarq Corp. 25,997 1,183 Frontier Communications Corp. 13,675 10,240 Qwest Communications International, Inc. 39,219 1,137 Verizon Communications, Inc. 38,703 3,261 Windstream Corp. 38,871 ------------- 275,650 ------------- ELECTRIC UTILITIES--2.3% 1,334 American Electric Power Co., Inc. 52,693 3,087 Duke Energy Corp. 54,269 SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 522 Edison International $ 25,233 163 FirstEnergy Corp. 11,989 205 FPL Group, Inc. 13,229 1,569 Pepco Holdings, Inc. 39,131 2,180 Pinnacle West Capital Corp. 73,182 962 Progress Energy, Inc. 40,702 768 Southern Co. 27,180 ------------- 337,608 ------------- ELECTRICAL EQUIPMENT--0.6% 1,358 Cooper Industries Ltd., Class A 57,267 543 Emerson Electric Co. 26,444 ------------- 83,711 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.6% 1,132 Agilent Technologies, Inc. (b) 40,820 817 Jabil Circuit, Inc. 13,284 1,649 Molex, Inc. 40,450 ------------- 94,554 ------------- ENERGY EQUIPMENT & SERVICES--4.8% 614 Baker Hughes, Inc. 50,907 1,680 BJ Services Co. 49,392 1,212 Cameron International Corp. (b) 57,885 831 ENSCO International, Inc. 57,455 1,264 Halliburton Co. 56,652 1,090 Nabors Industries Ltd. (b) 39,741 756 National Oilwell Varco, Inc. (b) 59,444 1,033 Noble Corp. 53,582 1,435 Rowan Cos., Inc. 57,113 624 Schlumberger Ltd. 63,397 807 Smith International, Inc. 60,025 352 Transocean, Inc. (b) 47,883 1,353 Weatherford International Ltd. (b) 51,049 ------------- 704,525 ------------- FOOD & STAPLES RETAILING--2.6% 956 Costco Wholesale Corp. 59,922 1,695 CVS Caremark Corp. 61,868 465 Kroger (The) Co. 13,150 1,880 Safeway, Inc. 50,234 2,171 SUPERVALU, Inc. 55,621 975 Sysco Corp. 27,651 825 Walgreen Co. 28,331 1,194 Wal-Mart Stores, Inc. 69,991 1,133 Whole Foods Market, Inc. 25,119 ------------- 391,887 ------------- FOOD PRODUCTS--2.6% 1,987 Archer-Daniels-Midland Co. 56,888 401 Campbell Soup Co. 14,588 2,783 ConAgra Foods, Inc. 60,335 662 General Mills, Inc. 42,626 279 Kellogg Co. 14,804 472 Kraft Foods, Inc., Class A 15,019 |
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 752 McCormick & Co., Inc. $ 30,155 3,285 Sara Lee Corp. 44,873 2,694 Tyson Foods, Inc., Class A 40,141 862 Wm. Wrigley Jr. Co. 68,064 ------------- 387,493 ------------- GAS UTILITIES--0.5% 945 Nicor, Inc. 37,630 567 Questar Corp. 29,983 ------------- 67,613 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.4% 629 Baxter International, Inc. 43,156 330 Becton, Dickinson and Co. 28,020 153 C.R. Bard, Inc. 14,205 1,003 Hospira, Inc. (b) 38,274 50 Intuitive Surgical, Inc. (b) 15,565 518 Medtronic, Inc. 27,366 656 St. Jude Medical, Inc. (b) 30,556 213 Stryker Corp. 13,672 ------------- 210,814 ------------- HEALTH CARE PROVIDERS & SERVICES--2.5% 662 Aetna, Inc. 27,149 335 AmerisourceBergen Corp. 14,026 260 Cardinal Health, Inc. 13,970 379 CIGNA Corp. 14,031 428 Express Scripts, Inc. (b) 30,191 1,687 Humana, Inc. (b) 74,076 193 Laboratory Corp. of America Holdings (b) 13,043 1,421 Medco Health Solutions, Inc. (b) 70,453 830 Quest Diagnostics, Inc. 44,123 1,407 WellPoint, Inc. (b) 73,797 ------------- 374,859 ------------- HEALTH CARE TECHNOLOGY--0.2% 1,151 IMS Health, Inc. 24,056 ------------- HOTELS, RESTAURANTS & LEISURE--1.6% 2,035 Carnival Corp. 75,174 1,260 Darden Restaurants, Inc. 41,038 477 McDonald's Corp. 28,520 3,745 Wyndham Worldwide Corp. 67,185 765 Yum! Brands, Inc. 27,402 ------------- 239,319 ------------- HOUSEHOLD DURABLES--1.7% 645 Fortune Brands, Inc. 36,965 3,196 Newell Rubbermaid, Inc. 52,830 516 Snap-on, Inc. 29,046 1,197 Stanley Works (The) 53,243 1,087 Whirlpool Corp. 82,285 ------------- 254,369 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.3% 194 Colgate-Palmolive Co. $ 14,408 224 Kimberly-Clark Corp. 12,954 221 Procter & Gamble (The) Co. 14,471 ------------- 41,833 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.4% 2,793 AES (The) Corp. (b) 45,079 163 Constellation Energy Group 13,555 ------------- 58,634 ------------- INDUSTRIAL CONGLOMERATES--0.4% 386 3M Co. 27,170 503 General Electric Co. 14,230 280 Textron, Inc. 12,172 ------------- 53,572 ------------- INSURANCE--4.4% 731 ACE Ltd. 37,062 641 Aflac, Inc. 35,646 883 Allstate (The) Corp. 40,812 584 Aon Corp. 26,747 1,369 Chubb (The) Corp. 65,767 2,641 Cincinnati Financial Corp. 73,526 2,260 Genworth Financial, Inc., Class A 36,092 623 Hartford Financial Services Group (The), Inc. 39,492 592 Lincoln National Corp. 28,238 286 Loews Corp. 12,744 508 MetLife, Inc. 25,791 1,433 Progressive (The) Corp. 29,018 225 Prudential Financial, Inc. 15,518 999 Safeco Corp. 66,094 229 Torchmark Corp. 13,293 1,546 Travelers (The) Cos., Inc. 68,210 1,312 Unum Group 31,698 ------------- 645,748 ------------- INTERNET & CATALOG RETAIL--0.3% 549 Amazon.com, Inc. (b) 41,911 ------------- INTERNET SOFTWARE & SERVICES--0.4% 1,157 Akamai Technologies, Inc. (b) 27,004 51 Google, Inc., Class A (b) 24,161 355 VeriSign, Inc. (b) 11,552 ------------- 62,717 ------------- IT SERVICES--2.4% 1,003 Affiliated Computer Services, Inc., Class A (b) 48,345 320 Automatic Data Processing, Inc. 13,667 1,238 Cognizant Technology Solutions Corp., Class A (b) 34,751 1,432 Computer Sciences Corp. (b) 67,833 4,514 Convergys Corp. (b) 57,328 1,633 Electronic Data Systems Corp. 40,515 1,305 Fidelity National Information Services, Inc. 24,730 |
Page 56 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 296 Fiserv, Inc. (b) $ 14,155 2,171 Western Union Co. 60,006 ------------- 361,330 ------------- LEISURE EQUIPMENT & PRODUCTS--0.6% 751 Hasbro, Inc. 29,079 3,134 Mattel, Inc. 62,836 ------------- 91,915 ------------- LIFE SCIENCES TOOLS & SERVICES--1.4% 801 Applied Biosystems, Inc. 29,581 395 Millipore Corp. (b) 27,788 2,408 PerkinElmer, Inc. 70,073 963 Thermo Fisher Scientific, Inc. (b) 58,281 416 Waters Corp. (b) 28,263 ------------- 213,986 ------------- MACHINERY--3.7% 545 Caterpillar, Inc. 37,888 1,024 Cummins, Inc. 67,932 521 Danaher Corp. 41,498 372 Deere & Co. 26,100 555 Dover Corp. 27,545 474 Eaton Corp. 33,673 565 Illinois Tool Works, Inc. 26,470 1,075 Ingersoll-Rand Co. Ltd., Class A 38,700 1,059 ITT Corp. 70,911 1,650 Manitowoc (The) Co., Inc. 43,494 641 PACCAR, Inc. 26,960 1,014 Pall Corp. 40,986 752 Parker Hannifin Corp. 46,383 261 Terex Corp. (b) 12,353 ------------- 540,893 ------------- MEDIA--3.6% 2,753 CBS Corp., Class B 45,039 2,121 Comcast Corp., Class A 43,735 2,589 DIRECTV Group (The), Inc. (b) 69,955 3,095 Gannett Co., Inc. 56,081 2,371 Meredith Corp. 60,603 872 New York Times (The) Co., Class A 10,978 4,460 News Corp., Class A 63,020 897 Omnicom Group, Inc. 38,293 4,532 Time Warner, Inc. 64,898 879 Viacom, Inc., Class B (b) 24,550 860 Walt Disney (The) Co. 26,101 46 Washington Post (The) Co., Class B 28,440 ------------- 531,693 ------------- METALS & MINING--2.6% 972 AK Steel Holding Corp. 61,721 1,130 Alcoa, Inc. 38,138 1,131 Allegheny Technologies, Inc. 53,485 572 Freeport-McMoRan Copper & Gold, Inc. 55,341 SHARES DESCRIPTION VALUE -------------------------------------------------------------- METALS & MINING (CONTINUED) 1,286 Newmont Mining Corp. $ 61,676 898 Nucor Corp. 51,384 363 United States Steel Corp. 58,211 ------------- 379,956 ------------- MULTILINE RETAIL--2.3% 429 Big Lots, Inc. (b) 13,067 5,797 Dillard's, Inc., Class A 58,608 2,691 Family Dollar Stores, Inc. 62,700 1,848 J. C. Penney Co., Inc. 56,974 3,454 Macy's, Inc. 64,970 1,328 Nordstrom, Inc. 38,167 866 Target Corp. 39,169 ------------- 333,655 ------------- MULTI-UTILITIES--3.4% 1,271 Ameren Corp. 52,225 1,672 CenterPoint Energy, Inc. 26,367 1,801 CMS Energy Corp. 24,314 1,373 Consolidated Edison, Inc. 54,509 847 Dominion Resources, Inc. 37,420 1,580 DTE Energy Co. 64,749 528 Integrys Energy Group, Inc. 26,960 2,994 NiSource, Inc. 51,138 1,014 PG&E Corp. 39,069 713 Sempra Energy 40,042 1,873 TECO Energy, Inc. 34,744 2,674 Xcel Energy, Inc. 53,640 ------------- 505,177 ------------- OFFICE ELECTRONICS--0.2% 1,979 Xerox Corp. 26,994 ------------- OIL, GAS & CONSUMABLE FUELS--6.7% 896 Anadarko Petroleum Corp. 51,887 483 Apache Corp. 54,178 594 Cabot Oil & Gas Corp. 26,142 1,017 Chesapeake Energy Corp. 51,003 677 Chevron Corp. 57,247 711 ConocoPhillips 58,032 478 CONSOL Energy, Inc. 35,558 558 Devon Energy Corp. 52,949 409 EOG Resources, Inc. 41,117 609 Exxon Mobil Corp. 48,982 532 Hess Corp. 53,945 1,293 Marathon Oil Corp. 63,964 684 Murphy Oil Corp. 54,535 667 Noble Energy 49,271 746 Occidental Petroleum Corp. 58,807 457 Peabody Energy Corp. 30,916 819 Range Resources Corp. 39,771 1,409 Southwestern Energy Co. (b) 51,161 467 Spectra Energy Corp. 12,688 3,393 Tesoro Corp. 52,388 979 XTO Energy, Inc. 46,238 ------------- 990,779 ------------- |
See Notes to Financial Statements Page 57
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS--0.9% 2,879 International Paper Co. $ 79,806 2,251 MeadWestvaco Corp. 60,349 ------------- 140,155 ------------- PERSONAL PRODUCTS--0.6% 745 Avon Products, Inc. 31,588 1,155 Estee Lauder (The) Cos., Inc., Class A 50,936 ------------- 82,524 ------------- PHARMACEUTICALS--2.8% 507 Abbott Laboratories 28,564 258 Allergan, Inc. 13,398 595 Barr Pharmaceuticals, Inc. (b) 39,258 581 Eli Lilly and Co. 27,371 417 Johnson & Johnson 28,552 6,406 King Pharmaceuticals, Inc. (b) 73,734 356 Merck & Co., Inc. 11,712 3,334 Mylan, Inc. (b) 43,242 2,304 Pfizer, Inc. 43,016 681 Schering-Plough Corp. 14,355 1,975 Watson Pharmaceuticals, Inc. (b) 57,097 839 Wyeth 33,996 ------------- 414,295 ------------- REAL ESTATE INVESTMENT TRUSTS--0.4% 1,966 Host Hotels & Resorts, Inc. 25,774 314 Plum Creek Timber Co., Inc. 15,298 494 ProLogis 24,147 ------------- 65,219 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 1,397 CB Richard Ellis Group, Inc., Class A (b) 19,628 ------------- ROAD & RAIL--0.9% 537 Burlington Northern Santa Fe Corp. 55,918 214 Norfolk Southern Corp. 15,391 779 Ryder System, Inc. 51,383 178 Union Pacific Corp. 14,674 ------------- 137,366 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.1% 2,301 Advanced Micro Devices, Inc. (b) 9,687 648 Altera Corp. 14,224 422 Analog Devices, Inc. 12,875 703 Applied Materials, Inc. 12,176 1,475 Broadcom Corp., Class A (b) 35,828 1,874 Intel Corp. 41,584 659 KLA-Tencor Corp. 24,772 412 Linear Technology Corp. 12,793 4,472 Micron Technology, Inc. (b) 21,600 2,532 Novellus Systems, Inc. (b) 51,576 1,212 Teradyne, Inc. (b) 11,356 1,906 Texas Instruments, Inc. 46,468 531 Xilinx, Inc. 13,185 ------------- 308,124 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE--1.8% 1,022 Adobe Systems, Inc. (b) $ 42,260 1,118 BMC Software, Inc. (b) 36,771 581 CA, Inc. 13,863 456 Citrix Systems, Inc. (b) 12,148 2,812 Compuware Corp. (b) 30,932 973 Intuit, Inc. (b) 26,592 1,916 Oracle Corp. (b) 41,251 2,773 Symantec Corp. (b) 58,427 ------------- 262,244 ------------- SPECIALTY RETAIL--4.4% 6,694 AutoNation, Inc. (b) 69,082 222 AutoZone, Inc. (b) 28,924 477 Bed Bath & Beyond, Inc. (b) 13,275 678 Best Buy Co., Inc. 26,930 332 GameStop Corp., Class A (b) 13,449 3,219 Gap (The), Inc. 51,890 2,291 Home Depot (The), Inc. 54,595 3,981 Limited Brands, Inc. 65,647 6,131 Office Depot, Inc. (b) 41,691 5,467 RadioShack Corp. 91,189 1,168 Sherwin-Williams (The) Co. 62,196 2,259 Staples, Inc. 50,828 658 Tiffany & Co. 24,866 1,705 TJX (The) Cos., Inc. 57,476 ------------- 652,038 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.0% 465 Coach, Inc. (b) 11,862 976 Jones Apparel Group, Inc. 16,338 450 NIKE, Inc., Class B 26,406 641 Polo Ralph Lauren Corp. 37,928 754 VF Corp. 53,972 ------------- 146,506 ------------- THRIFTS & MORTGAGE FINANCE--0.4% 3,217 Hudson City Bancorp, Inc. 58,742 ------------- TOBACCO--1.1% 2,610 Altria Group, Inc. 53,114 388 Lorillard, Inc. (b) 26,039 1,150 Reynolds American, Inc. 64,204 246 UST, Inc. 12,942 ------------- 156,299 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 492 W.W. Grainger, Inc. 44,039 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 635 American Tower Corp., Class A (b) 26,607 ------------- TOTAL COMMON STOCKS--100.0% (Cost $15,408,351) 14,798,923 |
Page 58 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- MONEY MARKET FUND--0.4% 52,602 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $52,602) $ 52,602 ------------- TOTAL INVESTMENTS--100.4% (Cost $15,460,953) (d) 14,851,525 NET OTHER ASSETS AND LIABILITIES--(0.4%) (52,496) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $15,672,678. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $695,663 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,516,816.
(e) This company filed for protection in federal bankruptcy court subsequent to the date of this report.
See Notes to Financial Statements Page 59
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--99.8% AEROSPACE & DEFENSE--1.3% 346 Alliant Techsystems, Inc. (b) $ 34,251 1,510 BE Aerospace, Inc. (b) 38,777 744 DRS Technologies, Inc. 58,627 ------------- 131,655 ------------- AIRLINES--1.6% 28,727 AirTran Holdings, Inc. (b) 83,883 3,820 Alaska Air Group, Inc. (b) 68,302 3,142 JetBlue Airways Corp. (b) 16,558 ------------- 168,743 ------------- AUTO COMPONENTS--1.2% 939 ArvinMeritor, Inc. 12,968 792 BorgWarner, Inc. 31,933 1,623 Gentex Corp. 25,092 4,133 Lear Corp. (b) 59,556 ------------- 129,549 ------------- AUTOMOBILES--0.5% 2,756 Thor Industries, Inc. 54,073 ------------- BEVERAGES--0.5% 2,370 PepsiAmericas, Inc. 56,098 ------------- BIOTECHNOLOGY--0.2% 700 Vertex Pharmaceuticals, Inc. (b) 24,150 ------------- CAPITAL MARKETS--1.5% 3,272 Apollo Investment Corp. 52,122 590 Eaton Vance Corp. 21,913 697 Jefferies Group, Inc. 13,236 1,332 Raymond James Financial, Inc. 38,495 1,004 Waddell & Reed Financial, Inc., Class A 33,534 ------------- 159,300 ------------- CHEMICALS--5.5% 1,004 Airgas, Inc. 57,508 587 Albemarle Corp. 22,852 1,929 Cabot Corp. 51,755 384 CF Industries Holding, Inc. 62,768 6,021 Chemtura Corp. 39,257 859 Cytec Industries, Inc. 46,438 757 FMC Corp. 56,298 1,012 Lubrizol (The) Corp. 50,398 184 Minerals Technologies, Inc. 11,870 1,707 RPM International, Inc. 34,994 667 Scotts Miracle-Gro (The) Co., Class A 12,993 832 Sensient Technologies Corp. 25,892 1,187 Terra Industries, Inc. 64,097 1,859 Valspar (The) Corp. 40,285 ------------- 577,405 ------------- COMMERCIAL BANKS--3.6% 1,823 Associated Banc-Corp. 30,426 5,391 Cathay General Bancorp 85,933 557 City National Corp. 27,365 10,607 Colonial BancGroup (The), Inc. 70,643 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 719 FirstMerit Corp. $ 14,150 487 SVB Financial Group (b) 28,046 2,685 Synovus Financial Corp. 25,534 2,923 TCF Financial Corp. 37,268 1,890 Webster Financial Corp. 37,535 223 Westamerica Bancorporation 11,596 443 Wilmington Trust Corp. 10,442 ------------- 378,938 ------------- COMMERCIAL SERVICES & SUPPLIES--4.9% 717 Brink's (The) Co. 49,444 486 ChoicePoint, Inc. (b) 23,255 1,095 Copart, Inc. (b) 48,027 427 Corrections Corp. of America (b) 11,969 1,315 Deluxe Corp. 18,805 134 Dun & Bradstreet (The) Corp. 12,950 942 Herman Miller, Inc. 24,624 3,318 HNI Corp. 71,834 3,032 Kelly Services, Inc., Class A 55,818 745 Korn/Ferry International (b) 13,038 805 Manpower, Inc. 38,640 293 Mine Safety Appliances Co. 9,681 5,513 MPS Group, Inc. (b) 63,509 2,397 Navigant Consulting, Inc. (b) 44,297 395 Republic Services, Inc. 12,838 227 Stericycle, Inc. (b) 13,563 ------------- 512,292 ------------- COMMUNICATIONS EQUIPMENT--1.9% 983 ADTRAN, Inc. 21,980 630 Avocent Corp. (b) 14,981 1,111 CommScope, Inc. (b) 49,539 1,237 F5 Networks, Inc. (b) 36,059 992 Foundry Networks, Inc. (b) 17,300 464 Harris Corp. 22,342 525 Plantronics, Inc. 12,784 962 Polycom, Inc. (b) 22,703 ------------- 197,688 ------------- COMPUTERS & PERIPHERALS--0.7% 930 NCR Corp. (b) 24,980 1,697 Western Digital Corp. (b) 48,856 ------------- 73,836 ------------- CONSTRUCTION & ENGINEERING--2.6% 3,229 Dycom Industries, Inc. (b) 51,245 1,859 Granite Construction, Inc. 58,799 1,343 KBR, Inc. 38,276 1,761 Quanta Services, Inc. (b) 54,380 948 Shaw Group (The), Inc. (b) 54,794 279 URS Corp. (b) 11,696 ------------- 269,190 ------------- CONSUMER FINANCE--0.5% 5,439 AmeriCredit Corp. (b) 47,700 ------------- |
Page 60 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING--1.8% 1,118 AptarGroup, Inc. $ 43,267 1,635 Packaging Corp. of America 41,725 757 Sonoco Products Co. 24,693 5,200 Temple-Inland, Inc. 84,500 ------------- 194,185 ------------- DIVERSIFIED CONSUMER SERVICES--2.4% 2,019 Corinthian Colleges, Inc. (b) 31,799 874 DeVry, Inc. 49,652 284 ITT Educational Services, Inc. (b) 25,157 259 Matthews International Corp., Class A 12,927 2,224 Regis Corp. 62,249 2,377 Service Corp. International 22,748 224 Strayer Education, Inc. 49,885 ------------- 254,417 ------------- ELECTRIC UTILITIES--2.0% 444 DPL, Inc. 11,269 1,855 Great Plains Energy, Inc. 46,857 474 Hawaiian Electric Industries, Inc. 11,727 1,217 IDACORP, Inc. 36,279 918 Northeast Utilities 23,097 2,766 Sierra Pacific Resources 31,366 2,180 Westar Energy, Inc. 48,134 ------------- 208,729 ------------- ELECTRICAL EQUIPMENT--1.8% 993 AMETEK, Inc. 47,525 1,176 Hubbell, Inc., Class B 49,580 712 Roper Industries, Inc. 43,560 1,239 Thomas & Betts Corp. (b) 51,270 ------------- 191,935 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--4.0% 1,045 Amphenol Corp., Class A 49,815 1,526 Arrow Electronics, Inc. (b) 49,168 2,148 Avnet, Inc. (b) 58,554 1,444 FLIR Systems, Inc. (b) 58,828 2,641 Ingram Micro, Inc., Class A (b) 48,674 10,852 KEMET Corp. (b) 14,759 413 National Instruments Corp. 14,063 692 Tech Data Corp. (b) 24,130 1,313 Trimble Navigation Ltd. (b) 43,592 6,607 Vishay Intertechnology, Inc. (b) 59,264 ------------- 420,847 ------------- ENERGY EQUIPMENT & SERVICES--2.6% 492 Exterran Holdings, Inc. (b) 27,768 762 FMC Technologies, Inc. (b) 47,076 814 Helmerich & Payne, Inc. 48,132 976 Patterson-UTI Energy, Inc. 27,738 496 Pride International, Inc. (b) 19,225 SHARES DESCRIPTION VALUE -------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 1,063 Superior Energy Services, Inc. (b) $ 50,418 901 Tidewater, Inc. 54,007 ------------- 274,364 ------------- FOOD & STAPLES RETAILING--0.6% 1,211 BJ's Wholesale Club, Inc. (b) 45,449 683 Ruddick Corp. 21,146 ------------- 66,595 ------------- FOOD PRODUCTS--1.7% 477 Corn Products International, Inc. 22,185 1,016 Hormel Foods Corp. 36,749 865 J.M. Smucker (The) Co. 42,160 774 Lancaster Colony Corp. 25,163 2,358 Smithfield Foods, Inc. (b) 50,650 ------------- 176,907 ------------- GAS UTILITIES--1.1% 678 AGL Resources, Inc. 23,432 451 Energen Corp. 27,150 509 Equitable Resources, Inc. 26,595 1,012 WGL Holdings, Inc. 34,944 ------------- 112,121 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.2% 347 Beckman Coulter, Inc. 25,102 318 DENTSPLY International, Inc. 12,800 756 Edwards Lifesciences Corp. (b) 47,385 434 Hill-Rom Holdings, Inc. 12,191 815 STERIS Corp. 27,849 ------------- 125,327 ------------- HEALTH CARE PROVIDERS & SERVICES--3.6% 1,209 Apria Healthcare Group, Inc. (b) 23,225 1,422 Community Health Systems, Inc. (b) 46,898 1,800 Health Management Associates, Inc., Class A (b) 11,070 455 Henry Schein, Inc. (b) 24,370 1,223 Kindred Healthcare, Inc. (b) 32,984 1,657 LifePoint Hospitals, Inc. (b) 47,440 413 Lincare Holdings, Inc. (b) 13,307 447 Omnicare, Inc. 13,160 1,549 Psychiatric Solutions, Inc. (b) 54,246 927 Universal Health Services, Inc., Class B 56,194 1,297 WellCare Health Plans, Inc. (b) 51,011 ------------- 373,905 ------------- HEALTH CARE TECHNOLOGY--0.1% 259 Cerner Corp. (b) 11,567 ------------- HOTELS, RESTAURANTS & LEISURE--1.8% 1,639 Bob Evans Farms, Inc. 46,942 3,733 Boyd Gaming Corp. 37,255 |
See Notes to Financial Statements Page 61
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,860 Brinker International, Inc. $ 34,205 478 CBRL Group, Inc. 11,553 300 International Speedway Corp., Class A 11,037 793 Life Time Fitness, Inc. (b) 23,623 791 Scientific Games Corp., Class A (b) 23,999 ------------- 188,614 ------------- HOUSEHOLD DURABLES--1.3% 4,749 American Greetings Corp., Class A 70,380 914 Mohawk Industries, Inc. (b) 53,899 343 Tupperware Brands Corp. 13,377 ------------- 137,656 ------------- HOUSEHOLD PRODUCTS--0.3% 624 Church & Dwight Co., Inc. 34,239 ------------- INDUSTRIAL CONGLOMERATES--0.2% 808 Carlisle Cos., Inc. 24,717 ------------- INSURANCE--3.0% 1,314 American Financial Group, Inc. 38,067 588 Everest Re Group Ltd. 48,097 930 Fidelity National Financial, Inc., Class A 12,425 444 First American Corp. 11,189 827 Hanover Insurance Group, Inc. 35,495 2,772 HCC Insurance Holdings, Inc. 62,785 2,508 Horace Mann Educators Corp. 34,761 251 Mercury General Corp. 12,678 308 Protective Life Corp. 11,076 499 StanCorp Financial Group, Inc. 24,646 850 Unitrin, Inc. 23,452 ------------- 314,671 ------------- INTERNET & CATALOG RETAIL--0.4% 1,349 NetFlix, Inc. (b) 41,671 ------------- INTERNET SOFTWARE & SERVICES--0.2% 608 Digital River, Inc. (b) 24,253 ------------- IT SERVICES--1.6% 2,040 Acxiom Corp. 26,194 207 Alliance Data Systems Corp. (b) 13,279 1,670 Broadridge Financial Solutions, Inc. 34,569 1,697 Gartner, Inc. (b) 41,339 755 Global Payments, Inc. 33,439 544 NeuStar, Inc., Class A (b) 11,413 522 SRA International, Inc., Class A (b) 11,458 ------------- 171,691 ------------- LEISURE EQUIPMENT & PRODUCTS--0.6% 4,954 Callaway Golf Co. 62,817 ------------- LIFE SCIENCES TOOLS & SERVICES--1.6% 550 Charles River Laboratories International, Inc. (b) 36,553 SHARES DESCRIPTION VALUE -------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 409 Covance, Inc. (b) $ 37,546 299 Invitrogen Corp. (b) 13,261 820 Pharmaceutical Product Development, Inc. 31,275 454 Techne Corp. (b) 36,102 230 Varian, Inc. (b) 11,362 ------------- 166,099 ------------- MACHINERY--7.1% 671 AGCO Corp. (b) 40,159 608 Crane Co. 21,584 1,050 Donaldson Co., Inc. 47,366 977 Federal Signal Corp. 14,039 429 Flowserve Corp. 57,203 308 Graco, Inc. 11,159 431 Harsco Corp. 23,317 954 IDEX Corp. 36,090 618 Joy Global, Inc. 44,632 1,080 Kennametal, Inc. 32,141 596 Lincoln Electric Holdings, Inc. 47,889 804 Nordson Corp. 56,811 2,832 Oshkosh Truck Corp. 51,089 669 Pentair, Inc. 23,161 445 SPX Corp. 56,417 1,423 Timken (The) Co. 46,987 1,689 Trinity Industries, Inc. 63,573 1,205 Wabtec Corp. 66,877 ------------- 740,494 ------------- MARINE--0.3% 772 Alexander & Baldwin, Inc. 33,497 ------------- MEDIA--3.3% 1,573 DreamWorks Animation SKG, Inc., Class A (b) 46,718 1,670 Entercom Communications Corp., Class A 10,237 5,118 Harte-Hanks, Inc. 63,514 1,041 John Wiley & Sons, Inc., Class A 47,199 1,094 Marvel Entertainment, Inc. (b) 37,962 3,923 Media General, Inc., Class A 49,744 2,045 Scholastic Corp. 52,741 4,681 Valassis Communications, Inc. (b) 41,286 ------------- 349,401 ------------- METALS & MINING--2.4% 1,343 Carpenter Technology Corp. 51,974 492 Cleveland-Cliffs, Inc. 53,338 1,554 Commercial Metals Co. 46,387 760 Reliance Steel & Aluminum Co. 48,002 1,500 Steel Dynamics, Inc. 47,520 572 Worthington Industries, Inc. 10,147 ------------- 257,368 ------------- MULTILINE RETAIL--0.7% 1,776 99 Cents Only Stores (b) 11,881 1,076 Dollar Tree, Inc. (b) 40,350 |
Page 62 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 2,135 Saks, Inc. (b) $ 21,756 ------------- 73,987 ------------- MULTI-UTILITIES--3.4% 1,711 Alliant Energy Corp. 55,145 1,462 Black Hills Corp. 47,178 1,422 Energy East Corp. 35,536 672 MDU Resources Group, Inc. 21,444 693 NSTAR 22,079 1,109 OGE Energy Corp. 36,286 1,960 PNM Resources, Inc. 22,952 1,466 Puget Energy, Inc. 40,374 950 SCANA Corp. 34,381 751 Vectren Corp. 21,929 518 Wisconsin Energy Corp. 23,372 ------------- 360,676 ------------- OFFICE ELECTRONICS--0.1% 359 Zebra Technologies Corp., Class A (b) 11,061 ------------- OIL, GAS & CONSUMABLE FUELS--4.0% 625 Arch Coal, Inc. 35,194 789 Bill Barrett Corp. (b) 32,459 841 Cimarex Energy Co. 43,825 1,606 Denbury Resources, Inc. (b) 45,193 779 Encore Acquisition Co. (b) 48,197 718 Newfield Exploration Co. (b) 35,168 737 Overseas Shipholding Group, Inc. 58,038 749 Pioneer Natural Resources Co. 44,528 803 Plains Exploration & Production Co. (b) 44,944 1,213 Quicksilver Resources, Inc. (b) 31,732 ------------- 419,278 ------------- PERSONAL PRODUCTS--0.5% 892 Alberto-Culver Co. 23,932 731 NBTY, Inc. (b) 25,213 ------------- 49,145 ------------- PHARMACEUTICALS--0.5% 485 Endo Pharmaceuticals Holdings, Inc. (b) 11,228 564 Medicis Pharmaceutical Corp., Class A 10,355 738 Perrigo Co. 26,000 ------------- 47,583 ------------- REAL ESTATE INVESTMENT TRUSTS--0.8% 1,438 Hospitality Properties Trust 30,629 779 Potlatch Corp. 36,278 276 Rayonier, Inc. 12,895 ------------- 79,802 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 195 Jones Lang LaSalle, Inc. $ 9,290 ------------- ROAD & RAIL--1.8% 5,601 Avis Budget Group, Inc. (b) 34,166 248 Con-way, Inc. 12,539 1,057 J.B.Hunt Transport Services, Inc. 39,088 799 Kansas City Southern (b) 43,945 2,523 Werner Enterprises, Inc. 60,072 ------------- 189,810 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.0% 3,368 Atmel Corp. (b) 11,889 1,894 Cypress Semiconductor Corp. (b) 51,611 3,997 Fairchild Semiconductor International, Inc. (b) 48,564 2,358 Integrated Device Technology, Inc. (b) 23,627 2,442 International Rectifier Corp. (b) 41,221 964 Intersil Corp., Class A 23,261 1,297 Lam Research Corp. (b) 42,658 8,083 RF Micro Devices, Inc. (b) 26,431 1,666 Semtech Corp. (b) 24,274 650 Silicon Laboratories, Inc. (b) 21,262 ------------- 314,798 ------------- SOFTWARE--2.6% 1,720 Activision Blizzard, Inc. (b) 61,885 5,802 Cadence Design Systems, Inc. (b) 42,877 542 Jack Henry & Associates, Inc. 11,702 344 McAfee, Inc. (b) 11,266 1,406 Parametric Technology Corp. (b) 27,234 1,594 Sybase, Inc. (b) 53,574 490 Synopsys, Inc. (b) 11,770 4,305 Wind River Systems, Inc. (b) 50,498 ------------- 270,806 ------------- SPECIALTY RETAIL--5.3% 906 Advance Auto Parts, Inc. 37,228 1,496 Aeropostale, Inc. (b) 48,246 1,957 AnnTaylor Stores Corp. (b) 44,130 1,887 Barnes & Noble, Inc. 44,646 5,860 Borders Group, Inc. 28,714 1,652 CarMax, Inc. (b) 22,137 3,023 Collective Brands, Inc. (b) 38,936 1,982 Dick's Sporting Goods, Inc. (b) 34,784 1,883 Foot Locker, Inc. 28,358 626 Guess?, Inc. 19,825 2,350 PetSmart, Inc. 53,369 2,849 Rent-A-Center, Inc. (b) 60,399 1,650 Ross Stores, Inc. 62,634 1,127 Urban Outfitters, Inc. (b) 37,202 ------------- 560,608 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.1% 864 Hanesbrands, Inc. (b) 18,524 960 Phillips-Van Heusen Corp. 33,984 |
See Notes to Financial Statements Page 63
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 717 Timberland (The) Co., Class A (b) $ 10,282 1,330 Warnaco Group (The), Inc. (b) 55,793 ------------- 118,583 ------------- THRIFTS & MORTGAGE FINANCE--0.2% 911 First Niagara Financial Group, Inc. 12,745 648 Washington Federal, Inc. 12,053 ------------- 24,798 ------------- TOBACCO--0.5% 1,037 Universal Corp. 53,530 ------------- TRADING COMPANIES & DISTRIBUTORS--1.4% 543 Fastenal Co. 26,531 793 GATX Corp. 36,058 797 MSC Industrial Direct Co., Inc., Class A 38,017 2,988 United Rentals, Inc. (b) 48,345 ------------- 148,951 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.3% 744 Telephone and Data Systems, Inc. 31,546 ------------- TOTAL COMMON STOCKS--99.8% (Cost $10,668,935) 10,502,956 MONEY MARKET FUND--0.9% 90,557 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $90,557) 90,557 ------------- TOTAL INVESTMENTS--100.7% (Cost $10,759,492) (d) 10,593,513 NET OTHER ASSETS AND LIABILITIES--(0.7)% (72,252) ------------- NET ASSETS--100.0% $ 10,521,261 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $10,849,664. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $681,386 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $937,537.
Page 64 See Notes to Financial Statements
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Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.2% 517 Applied Signal Technology, Inc. $ 7,569 634 Cubic Corp. 16,940 632 Curtiss-Wright Corp. 33,268 574 Esterline Technologies Corp. (b) 28,000 987 GenCorp, Inc. (b) 8,271 379 Moog, Inc., Class A (b) 16,847 1,200 Orbital Sciences Corp. (b) 30,012 579 Teledyne Technologies, Inc. (b) 36,419 750 Triumph Group, Inc. 39,720 ------------- 217,046 ------------- AIR FREIGHT & LOGISTICS--0.5% 613 Forward Air Corp. 22,430 828 Hub Group, Inc., Class A (b) 32,176 ------------- 54,606 ------------- AIRLINES--0.4% 2,793 Skywest, Inc. 42,509 ------------- AUTO COMPONENTS--1.2% 1,214 ATC Technology Corp. (b) 30,496 4,729 Spartan Motors, Inc. 25,631 4,329 Standard Motor Products, Inc. 40,649 1,256 Superior Industries International, Inc. 21,214 ------------- 117,990 ------------- AUTOMOBILES--0.7% 9,297 Monaco Coach Corp. 20,825 3,467 Winnebago Industries, Inc. 44,239 ------------- 65,064 ------------- BEVERAGES--0.2% 521 Boston Beer (The) Co., Inc., Class A (b) 23,596 ------------- BIOTECHNOLOGY--0.6% 791 Cubist Pharmaceuticals, Inc. (b) 17,924 838 Martek Biosciences Corp. (b) 31,517 559 Savient Pharmaceuticals, Inc. (b) 14,858 ------------- 64,299 ------------- BUILDING PRODUCTS--1.3% 1,749 Apogee Enterprises, Inc. 30,223 885 Gibraltar Industries, Inc. 13,992 3,226 Griffon Corp. (b) 32,421 732 Lennox International, Inc. 26,132 385 NCI Building Systems, Inc. (b) 14,422 472 Universal Forest Products, Inc. 12,744 ------------- 129,934 ------------- CAPITAL MARKETS--0.4% 211 Investment Technology Group, Inc. (b) 6,275 316 optionsXpress Holdings, Inc. 7,840 482 Piper Jaffray Cos., Inc. (b) 17,111 696 TradeStation Group, Inc. (b) 7,503 ------------- 38,729 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- CHEMICALS--1.7% 307 A. Schulman, Inc. $ 7,132 213 Arch Chemicals, Inc. 6,837 630 H.B. Fuller Co. 15,750 427 NewMarket Corp. 26,372 1,077 OM Group, Inc. (b) 36,186 2,541 Omnova Solutions, Inc. (b) 6,835 2,374 Penford Corp. 33,996 2,027 PolyOne Corp. (b) 15,203 265 Quaker Chemical Corp. 7,918 4,679 Tronox, Inc., Class B 6,551 475 Zep, Inc. 8,108 ------------- 170,888 ------------- COMMERCIAL BANKS--5.1% 2,753 Cascade Bancorp 20,565 731 Columbia Banking System, Inc. 11,045 343 Community Bank System, Inc. 8,095 5,004 East West Bancorp, Inc. 59,598 3,343 First BanCorp 29,251 1,536 First Financial Bancorp 17,357 463 First Financial Bankshares, Inc. 21,247 379 First Midwest Bancorp, Inc. 7,781 3,317 Frontier Financial Corp. 38,311 180 Hancock Holding Co. 8,080 1,766 Independent Bank Corp. 8,954 532 National Penn Bancshares, Inc. 7,145 495 Old National Bancorp 7,514 465 PrivateBancorp, Inc. 13,741 264 Prosperity Bancshares, Inc. 8,474 1,107 Provident Bankshares Corp. 10,074 274 Signature Bank (b) 8,064 777 Sterling Bancshares, Inc. 7,552 8,533 Sterling Financial Corp. 63,827 516 Susquehanna Bancshares, Inc. 7,389 551 UMB Financial Corp. 30,344 1,165 Umpqua Holdings Corp. 15,821 308 United Bankshares, Inc. 7,759 2,485 United Community Banks, Inc. 26,465 1,158 Whitney Holding Corp. 23,808 1,649 Wilshire Bancorp, Inc. 20,316 889 Wintrust Financial Corp. 18,358 ------------- 506,935 ------------- COMMERCIAL SERVICES & SUPPLIES--5.0% 253 Administaff, Inc. 7,264 664 Angelica Corp. 14,568 1,662 Bowne & Co., Inc. 21,490 555 CDI Corp. 11,422 574 Consolidated Graphics, Inc. (b) 19,229 928 G&K Services, Inc., Class A 31,589 1,022 Heidrick & Struggles International, Inc. 28,984 1,128 Interface, Inc., Class A 13,367 707 Mobile Mini, Inc. (b) 14,126 881 On Assignment, Inc. (b) 7,515 713 School Specialty, Inc. (b) 23,750 |
See Notes to Financial Statements Page 65
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 7,646 Spherion Corp. (b) $ 37,389 1,249 Tetra Tech, Inc. (b) 35,884 1,873 Sykes Enterprises, Inc. (b) 33,077 2,139 TrueBlue, Inc. (b) 32,299 765 United Stationers, Inc. (b) 29,322 1,096 Viad Corp. 33,406 2,966 Volt Information Sciences, Inc. (b) 41,137 664 Waste Connections, Inc. (b) 24,163 534 Watson Wyatt Worldwide, Inc., Class A 30,940 ------------- 490,921 ------------- COMMUNICATIONS EQUIPMENT--1.9% 2,508 Arris Group, Inc. (b) 24,002 1,144 Bel Fuse, Inc., Class B 32,444 1,039 Black Box Corp. 30,858 577 Comtech Telecommunications Corp. (b) 28,348 4,500 Digi International, Inc. (b) 45,540 7,961 Network Equipment Technologies, Inc. (b) 23,246 737 PC-Tel, Inc. 7,687 ------------- 192,125 ------------- COMPUTERS & PERIPHERALS--1.0% 2,103 Hutchinson Technology, Inc. (b) 31,209 3,174 Novatel Wireless, Inc. (b) 29,677 749 Synaptics, Inc. (b) 36,116 ------------- 97,002 ------------- CONSTRUCTION & ENGINEERING--0.2% 248 EMCOR Group, Inc. (b) 7,470 464 Insituform Technologies, Inc., Class A (b) 8,022 ------------- 15,492 ------------- CONSTRUCTION MATERIALS--0.2% 600 Headwaters, Inc. (b) 7,866 252 Texas Industries, Inc. 13,028 ------------- 20,894 ------------- CONSUMER FINANCE--1.4% 912 Cash America International, Inc. 38,449 1,885 First Cash Financial Services, Inc. (b) 35,947 6,876 Rewards Network, Inc. (b) 34,174 839 World Acceptance Corp. (b) 27,486 ------------- 136,056 ------------- CONTAINERS & PACKAGING--0.9% 12,026 Chesapeake Corp. (b) 21,647 4,335 Myers Industries, Inc. 48,552 471 Rock-Tenn Co., Class A 16,744 ------------- 86,943 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- DISTRIBUTORS--0.2% 719 Audiovox Corp., Class A (b) $ 6,564 782 LKQ Corp. (b) 16,031 ------------- 22,595 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 864 Coinstar, Inc. (b) 29,799 660 Hillenbrand, Inc. 15,279 ------------- 45,078 ------------- DIVERSIFIED FINANCIAL SERVICES--0.1% 322 Financial Federal Corp. 7,422 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.5% 3,920 FairPoint Communications, Inc. 27,205 3,085 General Communication, Inc., Class A (b) 27,672 ------------- 54,877 ------------- ELECTRIC UTILITIES--1.4% 336 ALLETE, Inc. 14,300 1,459 Central Vermont Public Service Corp. 32,156 1,211 Cleco Corp. 30,432 1,427 El Paso Electric Co. (b) 29,482 721 UIL Holdings Corp. 22,553 456 UniSource Energy Corp. 13,931 ------------- 142,854 ------------- ELECTRICAL EQUIPMENT--2.4% 861 A.O. Smith Corp. 34,182 147 Acuity Brands, Inc. 6,006 1,010 Baldor Electric Co. 34,391 626 Belden, Inc. 23,112 614 Brady Corp., Class A 22,515 607 II-VI, Inc. (b) 23,345 5,011 Magnetek, Inc. (b) 23,301 669 Regal-Beloit Corp. 27,931 991 Woodward Governor Co. 44,595 ------------- 239,378 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--4.9% 356 Anixter International, Inc. (b) 24,219 1,730 Benchmark Electronics, Inc. (b) 25,327 968 Brightpoint, Inc. (b) 6,670 1,015 Checkpoint Systems, Inc. (b) 21,386 3,515 CTS Corp. 45,204 1,051 Daktronics, Inc. 18,760 997 Electro Scientific Industries, Inc. (b) 15,593 281 FARO Technologies, Inc. (b) 6,660 621 Gerber Scientific, Inc. (b) 7,371 3,012 Insight Enterprises, Inc. (b) 38,434 359 Itron, Inc. (b) 33,146 448 Littelfuse, Inc. (b) 14,318 3,381 Methode Electronics, Inc. 37,833 197 MTS Systems Corp. 8,252 3,102 Newport Corp. (b) 32,540 |
Page 66 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 872 Park Electrochemical Corp. $ 22,096 1,021 Plexus Corp. (b) 29,099 780 RadiSys Corp. (b) 9,032 188 Rogers Corp. (b) 7,766 264 ScanSource, Inc. (b) 8,102 563 SYNNEX Corp. (b) 13,152 2,079 Technitrol, Inc. 29,148 2,674 TTM Technologies, Inc. (b) 30,083 ------------- 484,191 ------------- ENERGY EQUIPMENT & SERVICES--5.4% 568 Atwood Oceanics, Inc. (b) 26,077 1,121 Basic Energy Services, Inc. (b) 30,177 428 Bristow Group, Inc. (b) 19,256 484 CARBO Ceramics, Inc. 26,484 449 Dril-Quip, Inc. (b) 24,309 722 Gulf Island Fabrication, Inc. 32,021 848 Helix Energy Solutions Group, Inc. (b) 27,077 625 Hornbeck Offshore Services, Inc. (b) 27,863 2,024 ION Geophysical Corp. (b) 32,323 339 Lufkin Industries, Inc. 30,239 1,532 Matrix Service Co. (b) 34,576 518 NATCO Group, Inc., Class A (b) 24,683 458 Oceaneering International, Inc. (b) 27,773 1,502 Pioneer Drilling Co. (b) 23,867 395 SEACOR Holdings, Inc. (b) 33,050 1,114 Superior Well Services, Inc. (b) 35,380 1,192 TETRA Technologies, Inc. (b) 22,565 341 Unit Corp. (b) 23,035 369 W-H Energy Services, Inc. (b) 33,775 ------------- 534,530 ------------- FOOD & STAPLES RETAILING--1.5% 868 Andersons (The), Inc. 39,450 1,220 Casey's General Stores, Inc. 30,012 310 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 4,932 503 Longs Drug Stores Corp. 23,515 825 Nash Finch Co. 32,563 307 Spartan Stores, Inc. 7,304 725 United Natural Foods, Inc. (b) 13,935 ------------- 151,711 ------------- FOOD PRODUCTS--2.2% 2,138 Darling International, Inc. (b) 34,593 1,247 Flowers Foods, Inc. 37,497 940 Green Mountain Coffee Roasters, Inc. (b) 34,169 301 Hain Celestial Group (The), Inc. (b) 7,868 773 J & J Snack Foods Corp. 24,481 429 Ralcorp Holdings, Inc. (b) 23,149 1,023 Sanderson Farms, Inc. 40,654 582 TreeHouse Foods, Inc. (b) 15,772 ------------- 218,183 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- GAS UTILITIES--0.8% 769 Atmos Energy Corp. $ 20,355 175 Laclede Group (The), Inc. 7,422 153 Northwest Natural Gas Co. 6,923 270 Piedmont Natural Gas Co., Inc. 7,231 523 Southern Union Co. 13,661 713 Southwest Gas Corp. 20,605 246 UGI Corp. 6,657 ------------- 82,854 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.5% 293 Abaxis, Inc. (b) 5,828 1,418 American Medical Systems Holdings, Inc. (b) 23,354 224 Analogic Corp. 16,392 519 ArthroCare Corp. (b) 10,972 4,132 BioLase Technology, Inc. (b) 12,148 798 CONMED Corp. (b) 24,251 380 Cooper (The) Cos., Inc. 12,806 1,853 CryoLife, Inc. (b) 25,182 977 Cyberonics, Inc. (b) 26,985 408 Greatbatch, Inc. (b) 8,348 127 Haemonetics Corp. (b) 7,374 290 IDEXX Laboratories, Inc. (b) 15,515 546 Immucor, Inc. (b) 16,451 635 Integra LifeSciences Holdings (b) 28,994 691 Invacare Corp. 16,259 661 Kensey Nash Corp. (b) 22,957 254 Mentor Corp. 6,302 262 Meridian Bioscience, Inc. 6,815 961 Merit Medical Systems, Inc. (b) 19,422 2,483 Osteotech, Inc. (b) 14,302 315 SurModics, Inc. (b) 13,258 1,307 Symmetry Medical, Inc. (b) 21,840 5,839 Theragenics Corp. (b) 21,137 249 Vital Signs, Inc. 18,214 326 West Pharmaceutical Services, Inc. 14,970 1,049 Zoll Medical Corp. (b) 33,043 ------------- 443,119 ------------- HEALTH CARE PROVIDERS & SERVICES--5.1% 701 Amedisys, Inc. (b) 44,949 1,698 AMERIGROUP Corp. (b) 43,129 1,253 AMN Healthcare Services, Inc. (b) 23,682 870 AmSurg Corp. (b) 23,316 1,683 Centene Corp. (b) 37,548 386 Chemed Corp. 16,521 981 Cross Country Healthcare, Inc. (b) 15,647 371 Gentiva Health Services, Inc. (b) 9,475 1,172 HealthExtras, Inc. (b) 35,172 2,093 HealthSpring, Inc. (b) 40,709 329 HMS Holdings Corp. (b) 8,186 508 inVentiv Health, Inc. (b) 12,273 1,216 LHC Group, Inc. (b) 34,072 572 Magellan Health Services, Inc. (b) 23,881 1,572 MedCath Corp. (b) 29,349 |
See Notes to Financial Statements Page 67
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 871 Molina Healthcare, Inc. (b) $ 25,991 2,176 Odyssey HealthCare, Inc. (b) 20,498 867 PSS World Medical, Inc. (b) 14,531 1,322 RehabCare Group, Inc. (b) 21,892 1,192 Res-Care, Inc. (b) 21,885 ------------- 502,706 ------------- HEALTH CARE TECHNOLOGY--0.5% 2,144 Omnicell, Inc. (b) 34,840 786 Phase Forward, Inc. (b) 14,462 ------------- 49,302 ------------- HOTELS, RESTAURANTS & LEISURE--4.7% 569 Buffalo Wild Wings, Inc. (b) 18,737 1,894 California Pizza Kitchen, Inc. (b) 24,717 504 CEC Entertainment, Inc. (b) 17,569 567 CKE Restaurants, Inc. 6,957 378 DineEquity, Inc. 8,732 946 Jack in the Box, Inc. (b) 20,415 1,180 Landry's Restaurants, Inc. 17,193 945 Marcus (The) Corp. 15,035 7,992 Multimedia Games, Inc. (b) 41,239 3,512 O'Charley's, Inc. 39,510 316 P.F. Chang's China Bistro, Inc. (b) 8,216 764 Panera Bread Co., Class A (b) 38,276 1,063 Papa John's International, Inc. (b) 30,072 356 Peet's Coffee & Tea, Inc. (b) 6,938 1,347 Pinnacle Entertainment, Inc. (b) 15,221 1,019 Red Robin Gourmet Burgers, Inc. (b) 25,302 6,542 Ruby Tuesday, Inc. 45,008 6,820 Ruth's Chris Steak House, Inc. (b) 32,531 3,349 Steak n Shake (The) Co. (b) 23,075 2,363 Texas Roadhouse, Inc., Class A (b) 21,929 237 WMS Industries, Inc. (b) 6,679 ------------- 463,351 ------------- HOUSEHOLD DURABLES--1.1% 862 Ethan Allen Interiors, Inc. 21,636 2,849 Libbey, Inc. 25,840 440 National Presto Industries, Inc. 31,451 1,773 Russ Berrie and Co., Inc. (b) 17,216 676 Universal Electronics, Inc. (b) 15,359 ------------- 111,502 ------------- HOUSEHOLD PRODUCTS--0.1% 242 WD-40 Co. 8,269 ------------- INDUSTRIAL CONGLOMERATES--0.5% 1,022 Standex International Corp. 22,372 1,923 Tredegar Corp. 31,498 ------------- 53,870 ------------- INSURANCE--3.4% 916 Delphi Financial Group, Inc., Class A 22,854 650 Hilb Rogal & Hobbs Co. 28,178 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE (CONTINUED) 511 Infinity Property & Casualty Corp. $ 22,770 1,426 National Financial Partners Corp. 29,732 392 Navigators Group (The), Inc. (b) 18,644 416 Philadelphia Consolidated Holding Corp. (b) 24,315 1,375 Presidential Life Corp. 22,055 441 ProAssurance Corp. (b) 21,583 571 RLI Corp. 31,188 991 Safety Insurance Group, Inc. 42,087 1,506 Selective Insurance Group, Inc. 32,530 667 Tower Group, Inc. 15,194 1,049 United Fire & Casualty Co. 28,501 ------------- 339,631 ------------- INTERNET & CATALOG RETAIL--0.5% 2,307 PetMed Express, Inc. (b) 33,451 1,132 Stamps.com, Inc. (b) 15,407 ------------- 48,858 ------------- INTERNET SOFTWARE & SERVICES--0.3% 307 j2 Global Communications, Inc. (b) 7,359 731 Perficient, Inc. (b) 7,361 839 Websense, Inc. (b) 17,510 ------------- 32,230 ------------- IT SERVICES--2.4% 772 CACI International Inc., Class A (b) 34,709 4,551 CIBER, Inc. (b) 32,176 1,923 CSG Systems International, Inc. (b) 34,114 1,689 Cybersource Corp. (b) 29,980 3,940 Gevity HR, Inc. 29,353 734 ManTech International Corp., Class A (b) 40,986 406 MAXIMUS, Inc. 15,067 1,012 SI International, Inc. (b) 18,499 752 StarTek, Inc. (b) 6,783 ------------- 241,667 ------------- LEISURE EQUIPMENT & PRODUCTS--1.4% 2,700 Arctic Cat, Inc. 24,030 3,333 Brunswick Corp. 42,995 1,617 JAKKS Pacific, Inc. (b) 35,542 350 Polaris Industries, Inc. 14,980 761 RC2 Corp. (b) 17,473 ------------- 135,020 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 2,407 Cambrex Corp. (b) 18,317 106 Dionex Corp. (b) 7,369 1,259 Enzo Biochem, Inc. (b) 17,890 389 Kendle International, Inc. (b) 16,007 1,343 PAREXEL International Corp. (b) 39,257 ------------- 98,840 ------------- |
Page 68 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY--4.1% 659 Astec Industries, Inc. (b) $ 21,035 918 Barnes Group, Inc. 20,738 2,229 Briggs & Stratton Corp. 30,181 835 Cascade Corp. 36,640 403 CLARCOR, Inc. 15,524 946 EnPro Industries, Inc. (b) 34,065 622 Gardner Denver, Inc. (b) 28,363 412 Kaydon Corp. 19,537 333 Lindsay Corp. 30,726 1,689 Lydall, Inc. (b) 26,281 878 Mueller Industries, Inc. 22,538 708 Robbins & Myers, Inc. 35,945 339 Valmont Industries, Inc. 36,242 2,804 Wabash National Corp. 26,077 851 Watts Water Technologies, Inc., Class A 25,139 ------------- 409,031 ------------- MARINE--0.1% 294 Kirby Corp. (b) 14,030 ------------- MEDIA--0.4% 297 Arbitron, Inc. 13,959 767 E.W. Scripps (The) Co., Class A 5,308 1,336 Live Nation, Inc. (b) 16,860 ------------- 36,127 ------------- METALS & MINING--1.1% 741 A.M. Castle & Co. 14,998 497 AMCOL International Corp. 15,864 289 Brush Engineered Materials, Inc. (b) 6,916 425 Century Aluminum Co. (b) 25,254 465 Olympic Steel, Inc. 23,645 992 RTI International Metals, Inc. (b) 27,042 ------------- 113,719 ------------- MULTILINE RETAIL--0.4% 629 Fred's, Inc. 8,089 8,595 Tuesday Morning Corp. (b) 33,005 ------------- 41,094 ------------- MULTI-UTILITIES--0.4% 658 Avista Corp. 14,884 596 CH Energy Group, Inc. 21,605 ------------- 36,489 ------------- OIL, GAS & CONSUMABLE FUELS--1.8% 468 Penn Virginia Corp. 28,431 319 Petroleum Development Corp. (b) 17,644 1,313 PetroQuest Energy, Inc. (b) 27,402 547 St. Mary Land & Exploration Co. 23,280 536 Stone Energy Corp. (b) 27,347 535 Swift Energy Co. (b) 27,189 966 World Fuel Services Corp. 23,281 ------------- 174,574 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- PAPER & FOREST PRODUCTS--1.1% 4,176 Buckeye Technologies, Inc. (b) $ 40,717 1,691 Neenah Paper, Inc. 31,588 1,258 Schweitzer-Mauduit International, Inc. 23,411 1,833 Wausau Paper Corp. 16,240 ------------- 111,956 ------------- PERSONAL PRODUCTS--0.2% 326 Chattem, Inc. (b) 21,017 ------------- PHARMACEUTICALS--0.8% 661 Noven Pharmaceuticals, Inc. (b) 8,210 1,005 Salix Pharmaceuticals, Ltd. (b) 8,020 1,095 Sciele Pharma, Inc. (b) 20,422 3,194 ViroPharma, Inc. (b) 39,317 ------------- 75,969 ------------- REAL ESTATE INVESTMENT TRUSTS--1.0% 1,765 Colonial Properties Trust 35,228 649 DiamondRock Hospitality Co. 5,984 143 Entertainment Properties Trust 7,671 1,380 Extra Space Storage, Inc. 19,555 1,396 Medical Properties Trust, Inc. 15,482 338 National Retail Properties, Inc. 7,145 362 Senior Housing Properties Trust 7,620 ------------- 98,685 ------------- ROAD & RAIL--1.2% 771 Arkansas Best Corp. 28,635 474 Heartland Express, Inc. 8,077 1,158 Knight Transportation, Inc. 21,909 512 Landstar System, Inc. 25,897 941 Old Dominion Freight Line, Inc. (b) 34,535 ------------- 119,053 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.2% 516 Advanced Energy Industries, Inc. (b) 7,131 253 ATMI, Inc. (b) 5,700 1,709 Brooks Automation, Inc. (b) 13,347 426 Cabot Microelectronics Corp. (b) 16,631 1,051 Cymer, Inc. (b) 27,841 767 Diodes, Inc. (b) 19,919 310 FEI Co. (b) 7,828 7,385 Kopin Corp. (b) 23,854 1,938 Kulicke & Soffa Industries, Inc. (b) 12,326 772 Micrel, Inc. 7,349 1,122 Microsemi Corp. (b) 29,127 1,290 MKS Instruments, Inc. (b) 26,574 1,428 Pericom Semiconductor Corp. (b) 20,363 4,014 Photronics, Inc. (b) 17,060 918 Rudolph Technologies, Inc. (b) 8,014 2,863 Skyworks Solutions, Inc. (b) 27,084 520 Standard Microsystems Corp. (b) 13,790 303 Supertex, Inc. (b) 9,093 812 Varian Semiconductor Equipment Associates, Inc. (b) 23,727 ------------- 316,758 ------------- |
See Notes to Financial Statements Page 69
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE--2.3% 750 ANSYS, Inc. (b) $ 34,410 330 Blackbaud, Inc. 5,894 992 Catapult Communications Corp. (b) 7,341 850 Concur Technologies, Inc. (b) 35,036 251 FactSet Research Systems, Inc. 14,475 470 Informatica Corp. (b) 7,609 781 JDA Software Group, Inc. (b) 13,332 595 Manhattan Associates, Inc. (b) 14,601 463 MICROS Systems, Inc. (b) 14,668 642 Phoenix Technologies Ltd. (b) 7,749 241 Quality Systems, Inc. 7,917 194 SPSS, Inc. (b) 6,412 1,382 Take-Two Interactive Software, Inc. (b) 31,510 1,562 Tyler Technologies, Inc. (b) 24,961 ------------- 225,915 ------------- SPECIALTY RETAIL--7.1% 1,582 Aaron Rents, Inc. 43,457 4,667 Big 5 Sporting Goods Corp. 37,289 2,607 Brown Shoe Co., Inc. 42,077 3,209 Cabela's, Inc., Class A (b) 37,289 1,488 Cato (The) Corp., Class A 26,620 1,989 Charlotte Russe Holding, Inc. (b) 25,777 783 Children's Place Retail Stores (The), Inc. (b) 29,793 1,056 Dress Barn (The), Inc. (b) 17,033 1,144 Genesco, Inc. (b) 33,634 1,778 Group 1 Automotive, Inc. 34,938 882 Gymboree (The) Corp. (b) 32,987 1,407 Haverty Furniture Cos., Inc. 16,068 1,005 Hibbett Sports, Inc. (b) 21,155 6,530 Hot Topic, Inc. (b) 41,074 614 Jo-Ann Stores, Inc. (b) 13,490 792 Jos. A. Bank Clothiers, Inc. (b) 17,741 7,180 Lithia Motors, Inc., Class A 33,387 2,169 Men's Wearhouse (The), Inc. 43,185 3,942 MarineMax, Inc. (b) 25,938 2,541 OfficeMax, Inc. 32,423 810 Pep Boys-Manny, Moe & Jack (The) 5,978 2,741 Sonic Automotive, Inc., Class A 27,602 3,133 Stein Mart, Inc. 14,005 1,717 Tween Brands, Inc. (b) 23,643 748 Zale Corp. (b) 16,546 426 Zumiez, Inc. (b) 6,288 ------------- 699,417 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.7% 203 Deckers Outdoor Corp. (b) 22,941 486 Fossil, Inc. (b) 13,015 1,755 Iconix Brand Group, Inc. (b) 21,060 1,047 Maidenform Brands, Inc. (b) 16,030 1,784 Movado Group, Inc. 38,356 1,845 Oxford Industries, Inc. 38,818 999 Perry Ellis International, Inc. (b) 21,728 SHARES DESCRIPTION VALUE -------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 2,158 Quiksilver, Inc. (b) $ 16,552 1,430 Skechers U.S.A., Inc., Class A (b) 27,027 475 UniFirst Corp. 21,266 886 Volcom, Inc. (b) 15,895 530 Wolverine World Wide, Inc. 14,167 ------------- 266,855 ------------- THRIFTS & MORTGAGE FINANCE--1.1% 4,032 Anchor BanCorp Wisconsin, Inc. 29,030 8,492 Corus Bankshares, Inc. 33,204 9,389 Flagstar Bancorp, Inc. 41,687 1,316 Guaranty Financial Group, Inc. (b) 4,356 ------------- 108,277 ------------- TOBACCO--0.1% 1,383 Alliance One International, Inc. (b) 6,182 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 877 Applied Industrial Technologies, Inc. 23,434 310 Kaman Corp. 7,775 570 Lawson Products 16,712 169 Watsco, Inc. 8,428 ------------- 56,349 ------------- TOTAL COMMON STOCKS--100.0% (Cost $10,122,852) 9,914,564 MONEY MARKET FUND--0.8% 79,136 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $79,136) 79,136 ------------- TOTAL INVESTMENTS--100.8% (Cost $10,201,988) (d) 9,993,700 NET OTHER ASSETS AND LIABILITIES--(0.8%) (77,895) ------------- NET ASSETS--100.0% $ 9,915,805 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $10,452,601. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $443,327 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $902,228.
Page 70 See Notes to Financial Statements
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Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.2% 584 Boeing (The) Co. $ 35,688 2,428 Goodrich Corp. 119,313 1,723 Northrop Grumman Corp. 116,113 798 Precision Castparts Corp. 74,557 1,365 Raytheon Co. 77,709 1,245 United Technologies Corp. 79,655 ------------- 503,035 ------------- AIR FREIGHT & LOGISTICS--0.8% 2,438 FedEx Corp. 192,212 ------------- AIRLINES--0.6% 8,839 Southwest Airlines Co. 137,800 ------------- AUTO COMPONENTS--0.7% 5,358 Johnson Controls, Inc. 161,597 ------------- AUTOMOBILES--0.5% 23,963 Ford Motor Co. (b) 115,022 ------------- BEVERAGES--1.0% 8,883 Coca-Cola Enterprises, Inc. 150,389 1,414 Molson Coors Brewing Co., Class B 76,314 ------------- 226,703 ------------- BUILDING PRODUCTS--0.2% 2,443 Masco Corp. 40,285 ------------- CAPITAL MARKETS--1.1% 944 Ameriprise Financial, Inc. 40,120 882 Legg Mason, Inc. 35,589 9,697 Lehman Brothers Holdings, Inc. (e) 168,146 ------------- 243,855 ------------- CHEMICALS--3.1% 3,188 Ashland, Inc. 133,163 5,503 Dow Chemical (The) Co. 183,305 2,687 E.I. du Pont de Nemours and Co. 117,717 984 International Flavors & Fragrances, Inc. 39,576 2,009 PPG Industries, Inc. 121,826 1,655 Rohm and Haas Co. 124,125 ------------- 719,712 ------------- COMMERCIAL BANKS--7.9% 6,749 BB&T Corp. 189,107 5,996 Comerica, Inc. 172,205 15,096 Fifth Third Bancorp 210,891 19,976 Huntington Bancshares, Inc. 140,232 17,496 KeyCorp 184,583 1,090 M&T Bank Corp. 76,714 10,025 Marshall & Ilsley Corp. 152,380 673 PNC Financial Services Group, Inc. 47,978 17,608 Regions Financial Corp. 166,924 2,122 SunTrust Banks, Inc. 87,129 9,896 Wachovia Corp. 170,904 3,236 Wells Fargo & Co. 97,954 4,881 Zions Bancorporation 142,867 ------------- 1,839,868 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--2.7% 9,133 Allied Waste Industries, Inc. (b) $ 110,509 1,749 Avery Dennison Corp. 76,973 5,797 Cintas Corp. 164,867 1,864 Monster Worldwide, Inc. (b) 33,067 1,294 R.R. Donnelley & Sons Co. 34,550 4,809 Robert Half International, Inc. 121,620 2,037 Waste Management, Inc. 72,395 ------------- 613,981 ------------- COMMUNICATIONS EQUIPMENT--0.8% 1,658 Ciena Corp. (b) 34,271 5,001 Corning, Inc. 100,070 8,262 Tellabs, Inc. (b) 42,467 ------------- 176,808 ------------- COMPUTERS & PERIPHERALS--0.8% 2,616 EMC Corp. (b) 39,266 14,126 Sun Microsystems, Inc. (b) 150,160 ------------- 189,426 ------------- CONSTRUCTION MATERIALS--0.5% 1,928 Vulcan Materials Co. 123,758 ------------- CONSUMER FINANCE--1.3% 4,043 Capital One Financial Corp. 169,240 8,752 Discover Financial Services 128,217 ------------- 297,457 ------------- CONTAINERS & PACKAGING--2.0% 8,568 Bemis Co., Inc. 241,275 10,106 Sealed Air Corp. 219,300 ------------- 460,575 ------------- DISTRIBUTORS--0.5% 2,905 Genuine Parts Co. 116,520 ------------- DIVERSIFIED FINANCIAL SERVICES--2.1% 4,829 Bank of America Corp. 158,874 22,567 CIT Group, Inc. 191,368 3,359 JPMorgan Chase & Co. 136,476 ------------- 486,718 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.4% 4,562 AT&T, Inc. 140,555 5,397 CenturyTel, Inc. 200,715 1,625 Embarq Corp. 74,376 3,388 Frontier Communications Corp. 39,165 29,329 Qwest Communications International, Inc. 112,330 3,256 Verizon Communications, Inc. 110,834 9,340 Windstream Corp. 111,333 ------------- 789,308 ------------- ELECTRIC UTILITIES--4.2% 3,820 American Electric Power Co., Inc. 150,890 8,843 Duke Energy Corp. 155,460 1,495 Edison International 72,268 |
See Notes to Financial Statements Page 71
FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 467 FirstEnergy Corp. $ 34,348 585 FPL Group, Inc. 37,750 4,493 Pepco Holdings, Inc. 112,055 6,244 Pinnacle West Capital Corp. 209,612 2,756 Progress Energy, Inc. 116,606 2,200 Southern Co. 77,858 ------------- 966,847 ------------- ELECTRICAL EQUIPMENT--0.7% 3,891 Cooper Industries Ltd., Class A 164,083 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.7% 2,341 Jabil Circuit, Inc. 38,065 4,722 Molex, Inc. 115,830 ------------- 153,895 ------------- ENERGY EQUIPMENT & SERVICES--0.7% 4,109 Rowan Cos., Inc. 163,538 ------------- FOOD & STAPLES RETAILING--2.1% 1,331 Kroger (The) Co. 37,641 5,383 Safeway, Inc. 143,834 6,219 SUPERVALU, Inc. 159,330 2,364 Walgreen Co. 81,180 3,243 Whole Foods Market, Inc. 71,897 ------------- 493,882 ------------- FOOD PRODUCTS--2.7% 5,692 Archer-Daniels-Midland Co. 162,962 7,971 ConAgra Foods, Inc. 172,811 1,351 Kraft Foods, Inc., Class A 42,989 9,409 Sara Lee Corp. 128,527 7,715 Tyson Foods, Inc., Class A 114,954 ------------- 622,243 ------------- GAS UTILITIES--0.5% 2,706 Nicor, Inc. 107,753 ------------- HEALTH CARE PROVIDERS & SERVICES--2.7% 1,896 Aetna, Inc. 77,755 961 AmerisourceBergen Corp. 40,237 745 Cardinal Health, Inc. 40,029 1,085 CIGNA Corp. 40,167 4,831 Humana, Inc. (b) 212,129 4,031 WellPoint, Inc. (b) 211,426 ------------- 621,743 ------------- HOTELS, RESTAURANTS & LEISURE--1.9% 5,828 Carnival Corp. 215,287 959 Starwood Hotels & Resorts Worldwide, Inc. 32,884 10,726 Wyndham Worldwide Corp. 192,424 ------------- 440,595 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOUSEHOLD DURABLES--3.0% 1,231 Fortune Brands, Inc. $ 70,549 9,153 Newell Rubbermaid, Inc. 151,299 1,477 Snap-On, Inc. 83,140 3,428 Stanley Works (The) 152,477 3,112 Whirlpool Corp. 235,579 ------------- 693,044 ------------- HOUSEHOLD PRODUCTS--0.3% 643 Kimberly-Clark Corp. 37,185 632 Procter & Gamble (The) Co. 41,383 ------------- 78,568 ------------- INDUSTRIAL CONGLOMERATES--0.7% 1,104 3M Co. 77,710 1,440 General Electric Co. 40,738 802 Textron, Inc. 34,863 ------------- 153,311 ------------- INSURANCE--6.0% 2,093 ACE Ltd. 106,115 2,528 Allstate (The) Corp. 116,844 3,920 Chubb (The) Corp. 188,317 7,563 Cincinnati Financial Corp. 210,554 6,471 Genworth Financial, Inc., Class A 103,342 1,785 Hartford Financial Services Group (The), Inc. 113,151 1,695 Lincoln National Corp. 80,852 820 Loews Corp. 36,539 1,456 MetLife, Inc. 73,921 643 Prudential Financial, Inc. 44,348 655 Torchmark Corp. 38,023 4,426 Travelers (The) Cos., Inc. 195,275 3,758 Unum Group 90,793 ------------- 1,398,074 ------------- IT SERVICES--2.4% 4,101 Computer Sciences Corp. (b) 194,265 12,927 Convergys Corp. (b) 164,173 4,677 Electronic Data Systems Corp. 116,036 3,738 Fidelity National Information Services, Inc. 70,835 ------------- 545,309 ------------- LEISURE EQUIPMENT & PRODUCTS--1.1% 2,152 Hasbro, Inc. 83,325 8,977 Mattel, Inc. 179,989 ------------- 263,314 ------------- MACHINERY--1.7% 1,588 Dover Corp. 78,812 3,079 Ingersoll-Rand Co., Ltd., Class A 110,844 4,724 Manitowoc (The) Co., Inc. 124,525 1,837 PACCAR, Inc. 77,264 ------------- 391,445 ------------- |
Page 72 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA--5.4% 7,885 CBS Corp., Class B $ 128,999 6,076 Comcast Corp., Class A 125,287 8,865 Gannett Co., Inc. 160,634 4,468 Interpublic Group (The) of Cos., Inc. (b) 39,274 6,790 Meredith Corp. 173,552 2,496 New York Times (The) Co., Class A 31,425 12,773 News Corp., Class A 180,482 12,979 Time Warner, Inc. 185,859 2,516 Viacom, Inc., Class B (b) 70,272 2,463 Walt Disney (The) Co. 74,752 131 Washington Post (The) Co., Class B 80,991 ------------- 1,251,527 ------------- METALS & MINING--1.1% 3,236 Alcoa, Inc. 109,215 3,240 Allegheny Technologies, Inc. 153,220 ------------- 262,435 ------------- MULTILINE RETAIL--4.3% 2,459 Big Lots, Inc. (b) 74,901 16,604 Dillard's, Inc., Class A 167,866 7,708 Family Dollar Stores, Inc. 179,596 5,294 J. C. Penney Co., Inc. 163,214 9,891 Macy's, Inc. 186,051 3,804 Nordstrom, Inc. 109,327 2,479 Target Corp. 112,125 ------------- 993,080 ------------- MULTI-UTILITIES--6.2% 3,639 Ameren Corp. 149,527 4,787 CenterPoint Energy, Inc. 75,491 5,157 CMS Energy Corp. 69,620 3,931 Consolidated Edison, Inc. 156,061 2,427 Dominion Resources, Inc. 107,225 4,526 DTE Energy Co. 185,474 1,512 Integrys Energy Group, Inc. 77,203 8,576 NiSource, Inc. 146,478 2,904 PG&E Corp. 111,891 2,042 Sempra Energy 114,679 5,364 TECO Energy, Inc. 99,502 7,658 Xcel Energy, Inc. 153,619 ------------- 1,446,770 ------------- OFFICE ELECTRONICS--0.3% 5,667 Xerox Corp. 77,298 ------------- OIL, GAS & CONSUMABLE FUELS--2.4% 2,567 Anadarko Petroleum Corp. 148,655 1,767 El Paso Corp. 31,682 3,703 Marathon Oil Corp. 183,188 1,337 Spectra Energy Corp. 36,326 9,717 Tesoro Corp. 150,030 ------------- 549,881 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- PAPER & FOREST PRODUCTS--1.7% 8,245 International Paper Co. $ 228,551 6,447 MeadWestvaco Corp. 172,844 ------------- 401,395 ------------- PHARMACEUTICALS--2.6% 1,665 Eli Lilly & Co. 78,438 18,348 King Pharmaceuticals, Inc. (b) 211,185 1,020 Merck & Co., Inc. 33,558 6,598 Pfizer, Inc. 123,185 5,656 Watson Pharmaceuticals, Inc. (b) 163,515 ------------- 609,881 ------------- REAL ESTATE INVESTMENT TRUSTS--0.3% 5,629 Host Hotels & Resorts, Inc. 73,796 ------------- ROAD & RAIL--1.0% 613 Norfolk Southern Corp. 44,087 2,231 Ryder System, Inc. 147,157 509 Union Pacific Corp. 41,962 ------------- 233,206 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.7% 1,210 Analog Devices, Inc. 36,917 2,013 Applied Materials, Inc. 34,865 5,366 Intel Corp. 119,072 1,887 KLA-Tencor Corp. 70,932 12,807 Micron Technology, Inc. (b) 61,858 7,252 Novellus Systems, Inc. (b) 147,723 3,471 Teradyne, Inc. (b) 32,523 5,457 Texas Instruments, Inc. 133,042 ------------- 636,932 ------------- SPECIALTY RETAIL--5.7% 19,172 AutoNation, Inc. (b) 197,855 9,219 Gap (The), Inc. 148,610 6,562 Home Depot (The), Inc. 156,372 11,401 Limited Brands, Inc. 188,002 17,559 Office Depot, Inc. (b) 119,401 15,656 RadioShack Corp. 261,143 3,346 Sherwin-Williams (The) Co. 178,175 1,886 Tiffany & Co. 71,272 ------------- 1,320,830 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.9% 2,795 Jones Apparel Group, Inc. 46,788 2,159 VF Corp. 154,542 ------------- 201,330 ------------- TOBACCO--1.8% 7,474 Altria Group, Inc. 152,096 1,111 Lorillard, Inc. (b) 74,559 3,293 Reynolds American, Inc. 183,848 ------------- 410,503 ------------- |
See Notes to Financial Statements Page 73
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS--100.0% (Cost $24,678,310) $ 23,161,148 MONEY MARKET FUND--0.1% 25,085 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $25,085) 25,085 ------------- TOTAL INVESTMENTS--100.1% (Cost $24,703,395) (d) 23,186,233 NET OTHER ASSETS AND LIABILITIES--(0.1%) (22,811) ------------- |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $25,192,339. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $609,661 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,615,767.
(e) This company filed for protection in federal bankruptcy court subsequent to the date of this report.
Page 74 See Notes to Financial Statements
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Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.1% AEROSPACE & DEFENSE--1.9% 3,535 General Dynamics Corp. $ 315,110 1,480 Honeywell International, Inc. 75,243 818 L-3 Communications Holdings, Inc. 80,728 2,263 Lockheed Martin Corp. 236,099 ------------- 707,180 ------------- AIR FREIGHT & LOGISTICS--1.2% 5,429 C.H. Robinson Worldwide, Inc. 261,678 5,192 Expeditors International of Washington, Inc. 184,368 ------------- 446,046 ------------- BEVERAGES--1.6% 4,792 Anheuser-Busch Cos., Inc. 324,706 3,939 Brown-Forman Corp., Class B 283,450 ------------- 608,156 ------------- BIOTECHNOLOGY--3.2% 1,578 Amgen, Inc. (b) 98,830 2,663 Biogen Idec, Inc. (b) 185,771 4,661 Celgene Corp. (b) 351,858 3,100 Genzyme Corp. (b) 237,615 5,621 Gilead Sciences, Inc. (b) 303,422 ------------- 1,177,496 ------------- CAPITAL MARKETS--2.7% 3,623 Charles Schwab (The) Corp. 82,930 851 Goldman Sachs Group (The), Inc. 156,618 5,622 Janus Capital Group, Inc. 170,571 3,255 Northern Trust Corp. 254,444 1,163 State Street Corp. 83,317 3,953 T. Rowe Price Group, Inc. 236,588 ------------- 984,468 ------------- CHEMICALS--4.3% 3,011 Air Products and Chemicals, Inc. 286,677 4,323 Eastman Chemical Co. 259,207 3,462 Ecolab, Inc. 154,751 4,396 Hercules, Inc. 88,140 2,943 Monsanto Co. 350,541 3,159 Praxair, Inc. 296,093 2,763 Sigma-Aldrich Corp. 167,825 ------------- 1,603,234 ------------- COMMERCIAL SERVICES & SUPPLIES--0.6% 4,427 Equifax, Inc. 155,344 2,183 Pitney Bowes, Inc. 69,179 ------------- 224,523 ------------- COMMUNICATIONS EQUIPMENT--1.0% 6,709 QUALCOMM, Inc. 371,276 ------------- COMPUTERS & PERIPHERALS--3.4% 1,778 Apple, Inc. (b) 282,613 10,204 Dell, Inc. (b) 250,712 5,050 Hewlett-Packard Co. 226,240 2,511 International Business Machines Corp. 321,358 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMPUTERS & PERIPHERALS (CONTINUED) 2,226 Lexmark International, Inc., Class A (b) $ 78,088 3,435 NetApp, Inc. (b) 87,764 ------------- 1,246,775 ------------- CONSTRUCTION & ENGINEERING--1.6% 4,000 Fluor Corp. 325,400 3,688 Jacobs Engineering Group, Inc. (b) 285,230 ------------- 610,630 ------------- CONSUMER FINANCE--0.2% 3,846 SLM Corp. (b) 65,882 ------------- CONTAINERS & PACKAGING--0.7% 6,235 Ball Corp. 277,956 ------------- DIVERSIFIED CONSUMER SERVICES--0.7% 10,433 H&R Block, Inc. 253,835 ------------- DIVERSIFIED FINANCIAL SERVICES--0.8% 6,342 Leucadia National Corp. 283,931 ------------- ELECTRICAL EQUIPMENT--0.4% 3,010 Emerson Electric Co. 146,587 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.6% 6,282 Agilent Technologies, Inc. (b) 226,529 ------------- ENERGY EQUIPMENT & SERVICES--9.7% 3,408 Baker Hughes, Inc. 282,557 9,319 BJ Services Co. 273,979 6,723 Cameron International Corp. (b) 321,090 4,609 ENSCO International, Inc. 318,666 7,012 Halliburton Co. 314,278 6,047 Nabors Industries Ltd. (b) 220,474 4,194 National Oilwell Varco, Inc. (b) 329,774 5,728 Noble Corp. 297,111 3,463 Schlumberger Ltd. 351,841 4,476 Smith International, Inc. 332,925 1,953 Transocean, Inc. (b) 265,667 7,504 Weatherford International Ltd. (b) 283,126 ------------- 3,591,488 ------------- FOOD & STAPLES RETAILING--3.3% 5,305 Costco Wholesale Corp. 332,517 9,403 CVS Caremark Corp. 343,210 5,410 Sysco Corp. 153,428 6,621 Wal-Mart Stores, Inc. 388,123 ------------- 1,217,278 ------------- FOOD PRODUCTS--2.5% 2,224 Campbell Soup Co. 80,909 3,674 General Mills, Inc. 236,569 1,550 Kellogg Co. 82,243 4,174 McCormick & Co., Inc. 167,377 4,784 Wm. Wrigley Jr. Co. 377,745 ------------- 944,843 ------------- |
See Notes to Financial Statements Page 75
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES--0.5% 3,142 Questar Corp. $ 166,149 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.1% 3,491 Baxter International, Inc. 239,517 1,831 Becton, Dickinson and Co. 155,470 846 C.R. Bard, Inc. 78,543 5,566 Hospira, Inc. (b) 212,399 277 Intuitive Surgical, Inc. (b) 86,227 2,876 Medtronic, Inc. 151,939 3,641 St. Jude Medical, Inc. (b) 169,598 1,184 Stryker Corp. 76,001 ------------- 1,169,694 ------------- HEALTH CARE PROVIDERS & SERVICES--2.1% 2,373 Express Scripts, Inc. (b) 167,391 1,068 Laboratory Corp. of America Holdings (b) 72,175 6,306 Medco Health Solutions, Inc. (b) 312,652 4,606 Quest Diagnostics, Inc. 244,855 ------------- 797,073 ------------- HEALTH CARE TECHNOLOGY--0.4% 6,388 IMS Health, Inc. 133,509 ------------- HOTELS, RESTAURANTS & LEISURE--1.4% 6,990 Darden Restaurants, Inc. 227,665 2,647 McDonald's Corp. 158,264 4,242 Yum! Brands, Inc. 151,948 ------------- 537,877 ------------- HOUSEHOLD PRODUCTS--0.2% 1,077 Colgate-Palmolive Co. 79,989 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.9% 15,496 AES (The) Corp. (b) 250,106 907 Constellation Energy Group 75,426 ------------- 325,532 ------------- INSURANCE--2.4% 3,555 Aflac, Inc. 197,694 3,240 Aon Corp. 148,392 7,951 Progressive (The) Corp. 161,008 5,541 SAFECO Corp. 366,592 ------------- 873,686 ------------- INTERNET & CATALOG RETAIL--0.6% 3,044 Amazon.com, Inc. (b) 232,379 ------------- INTERNET SOFTWARE & SERVICES--0.9% 6,417 Akamai Technologies, Inc. (b) 149,773 283 Google, Inc., Class A (b) 134,071 1,969 VeriSign, Inc. (b) 64,071 ------------- 347,915 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES--2.5% 5,565 Affiliated Computer Services, Inc., Class A (b) $ 268,233 1,776 Automatic Data Processing, Inc. 75,853 6,867 Cognizant Technology Solutions Corp., Class A (b) 192,757 1,640 Fiserv, Inc. (b) 78,425 12,042 Western Union Co. 332,840 ------------- 948,108 ------------- LIFE SCIENCES TOOLS & SERVICES--3.2% 4,445 Applied Biosystems, Inc. 164,154 2,194 Millipore Corp. (b) 154,348 13,361 PerkinElmer, Inc. 388,805 5,341 Thermo Fisher Scientific, Inc. (b) 323,237 2,308 Waters Corp. (b) 156,806 ------------- 1,187,350 ------------- MACHINERY--6.0% 3,024 Caterpillar, Inc. 210,228 5,680 Cummins, Inc. 376,812 2,888 Danaher Corp. 230,029 2,063 Deere & Co. 144,740 2,628 Eaton Corp. 186,693 3,133 Illinois Tool Works, Inc. 146,781 5,876 ITT Corp. 393,458 5,627 Pall Corp. 227,443 4,174 Parker Hannifin Corp. 257,452 1,448 Terex Corp. (b) 68,534 ------------- 2,242,170 ------------- MEDIA--1.6% 14,361 DIRECTV Group (The), Inc. (b) 388,034 4,974 Omnicom Group, Inc. 212,340 ------------- 600,374 ------------- METALS & MINING--4.3% 5,393 AK Steel Holding Corp. 342,456 3,175 Freeport-McMoRan Copper & Gold, Inc. 307,181 7,133 Newmont Mining Corp. 342,099 4,983 Nucor Corp. 285,127 2,014 United States Steel Corp. 322,965 ------------- 1,599,828 ------------- OIL, GAS & CONSUMABLE FUELS--12.1% 2,677 Apache Corp. 300,279 3,296 Cabot Oil & Gas Corp. 145,057 5,641 Chesapeake Energy Corp. 282,896 3,754 Chevron Corp. 317,438 3,942 ConocoPhillips 321,746 2,649 CONSOL Energy, Inc. 197,059 3,097 Devon Energy Corp. 293,874 2,269 EOG Resources, Inc. 228,103 3,378 Exxon Mobil Corp. 271,693 2,949 Hess Corp. 299,029 |
Page 76 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 3,795 Murphy Oil Corp. $ 302,575 3,700 Noble Energy, Inc. 273,319 4,141 Occidental Petroleum Corp. 326,434 2,536 Peabody Energy Corp. 171,560 4,542 Range Resources Corp. 220,560 7,816 Southwestern Energy Co. (b) 283,799 5,431 XTO Energy, Inc. 256,506 ------------- 4,491,927 ------------- PERSONAL PRODUCTS--1.2% 4,132 Avon Products, Inc. 175,197 6,409 Estee Lauder (The) Cos., Inc., Class A 282,637 ------------- 457,834 ------------- PHARMACEUTICALS--3.2% 2,810 Abbott Laboratories 158,315 1,430 Allergan, Inc. 74,260 3,302 Barr Pharmaceuticals, Inc. (b) 217,866 3,470 Johnson & Johnson 237,591 18,497 Mylan, Inc. (b) 239,906 3,780 Schering-Plough Corp. 79,682 4,655 Wyeth 188,621 ------------- 1,196,241 ------------- REAL ESTATE INVESTMENT TRUSTS--0.6% 1,742 Plum Creek Timber Co., Inc. 84,870 2,739 ProLogis 133,883 ------------- 218,753 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.3% 7,753 CB Richard Ellis Group, Inc., Class A (b) 108,930 ------------- ROAD & RAIL--0.8% 2,980 Burlington Northern Santa Fe Corp. 310,307 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.3% 12,765 Advanced Micro Devices, Inc. (b) 53,741 3,595 Altera Corp. 78,910 8,181 Broadcom Corp., Class A (b) 198,717 2,285 Linear Technology Corp. 70,949 2,947 Xilinx, Inc. 73,174 ------------- 475,491 ------------- SOFTWARE--3.9% 5,668 Adobe Systems, Inc. (b) 234,372 6,202 BMC Software, Inc. (b) 203,984 3,223 CA, Inc. 76,901 2,531 Citrix Systems, Inc. (b) 67,426 15,602 Compuware Corp. (b) 171,622 5,398 Intuit, Inc. (b) 147,527 10,631 Oracle Corp. (b) 228,885 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE (CONTINUED) 15,383 Symantec Corp. (b) $ 324,120 ------------- 1,454,837 ------------- SPECIALTY RETAIL--2.9% 1,230 AutoZone, Inc. (b) 160,257 2,648 Bed Bath & Beyond, Inc. (b) 73,694 3,758 Best Buy Co., Inc. 149,268 1,843 GameStop Corp., Class A (b) 74,660 12,534 Staples, Inc. 282,015 9,459 TJX (The) Cos., Inc. 318,862 ------------- 1,058,756 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.1% 2,577 Coach, Inc. (b) 65,739 2,497 NIKE, Inc., Class B 146,524 3,556 Polo Ralph Lauren Corp. 210,409 ------------- 422,672 ------------- THRIFTS & MORTGAGE FINANCE--0.9% 17,846 Hudson City Bancorp, Inc. 325,868 ------------- TOBACCO--0.2% 1,362 UST, Inc. 71,655 ------------- TRADING COMPANIES & DISTRIBUTORS--0.7% 2,729 W.W. Grainger, Inc. 244,272 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% 3,523 American Tower Corp., Class A (b) 147,614 ------------- TOTAL COMMON STOCKS--100.1% (Cost $36,611,838) 37,214,903 MONEY MARKET FUND--0.1% 52,699 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $52,699) 52,699 ------------- TOTAL INVESTMENTS--100.2% (Cost $36,664,537) (d) 37,267,602 NET OTHER ASSETS AND LIABILITIES--(0.2%) (63,652) ------------- NET ASSETS--100.0% $ 37,203,950 ============= |
(a) All percentages shown in the portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $36,900,128. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,910,833 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,543,359.
See Notes to Financial Statements Page 77
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Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--99.9% AEROSPACE & DEFENSE--1.7% 85 Applied Signal Technology, Inc. $ 1,244 472 BE Aerospace, Inc. (b) 12,120 57 Boeing Co. 3,483 104 Cubic Corp. 2,779 162 GenCorp, Inc. (b) 1,358 239 Goodrich Corp. 11,744 62 Moog, Inc., Class A (b) 2,756 169 Northrop Grumman Corp. 11,389 78 Precision Castparts Corp. 7,288 134 Raytheon Co. 7,629 126 Triumph Group, Inc. 6,673 122 United Technologies Corp. 7,806 ------------- 76,269 ------------- AIR FREIGHT & LOGISTICS--0.4% 240 FedEx Corp. 18,922 ------------- AIRLINES--1.3% 6,734 AirTran Holdings, Inc. (b) 19,663 895 Alaska Air Group, Inc. (b) 16,003 715 JetBlue Airways Corp. (b) 3,768 468 Skywest, Inc. 7,123 869 Southwest Airlines Co. 13,548 ------------- 60,105 ------------- AUTO COMPONENTS--1.3% 440 ArvinMeritor, Inc. 6,076 200 ATC Technology Corp. (b) 5,024 381 Gentex Corp. 5,890 527 Johnson Controls, Inc. 15,895 969 Lear Corp. (b) 13,964 793 Spartan Motors, Inc. 4,298 726 Standard Motor Products, Inc. 6,817 207 Superior Industries International, Inc. 3,496 ------------- 61,460 ------------- AUTOMOBILES--0.8% 2,356 Ford Motor Co. (b) 11,309 1,529 Monaco Coach Corp. 3,425 646 Thor Industries, Inc. 12,675 582 Winnebago Industries, Inc. 7,426 ------------- 34,835 ------------- BEVERAGES--0.8% 873 Coca-Cola Enterprises, Inc. 14,779 139 Molson Coors Brewing Co., Class B 7,502 556 PepsiAmericas, Inc. 13,161 ------------- 35,442 ------------- BUILDING PRODUCTS--0.6% 288 Apogee Enterprises, Inc. 4,977 146 Gibraltar Industries, Inc. 2,308 531 Griffon Corp. (b) 5,336 120 Lennox International, Inc. 4,284 240 Masco Corp. 3,958 95 NCI Building Systems, Inc. (b) 3,559 SHARES DESCRIPTION VALUE -------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 78 Universal Forest Products, Inc. $ 2,106 ------------- 26,528 ------------- CAPITAL MARKETS--0.9% 93 Ameriprise Financial, Inc. 3,953 767 Apollo Investment Corp. 12,218 35 Investment Technology Group, Inc. (b) 1,041 87 Legg Mason, Inc. 3,510 953 Lehman Brothers Holdings, Inc. (e) 16,525 79 Piper Jaffray Cos., Inc. (b) 2,805 ------------- 40,052 ------------- CHEMICALS--3.7% 50 A. Schulman, Inc. 1,162 35 Arch Chemicals, Inc. 1,124 313 Ashland, Inc. 13,074 452 Cabot Corp. 12,127 1,411 Chemtura Corp. 9,200 201 Cytec Industries, Inc. 10,866 541 Dow Chemical (The) Co. 18,020 264 E.I. du Pont de Nemours and Co. 11,566 104 H.B. Fuller Co. 2,600 97 International Flavors & Fragrances, Inc. 3,901 296 Lubrizol (The) Corp. 14,741 102 Olin Corp. 3,033 181 OM Group, Inc. (b) 6,082 418 Omnova Solutions, Inc. (b) 1,124 398 Penford Corp. 5,699 334 PolyOne Corp. (b) 2,505 198 PPG Industries, Inc. 12,007 44 Quaker Chemical Corp. 1,315 163 Rohm and Haas Co. 12,225 400 RPM International, Inc. 8,200 152 Scotts Miracle-Gro (The) Co., Class A 2,961 195 Sensient Technologies Corp. 6,068 770 Tronox, Inc., Class B 1,078 436 Valspar (The) Corp. 9,448 ------------- 170,126 ------------- COMMERCIAL BANKS--7.3% 427 Associated Banc-Corp. 7,127 664 BB&T Corp. 18,605 453 Cascade Bancorp 3,384 1,264 Cathay General Bancorp 20,148 131 City National Corp. 6,436 3,108 Colonial BancGroup (The), Inc. 20,698 120 Columbia Banking System, Inc. 1,813 590 Comerica, Inc. 16,945 56 Community Bank System, Inc. 1,322 839 East West Bancorp, Inc. 9,992 1,484 Fifth Third Bancorp 20,730 733 First BanCorp 6,414 125 First Commonwealth Financial Corp. 1,425 253 First Financial Bancorp 2,859 |
Page 78 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 62 First Midwest Bancorp, Inc. $ 1,273 163 FirstMerit Corp. 3,208 546 Frontier Financial Corp. 6,306 73 Glacier Bancorp, Inc. 1,582 1,964 Huntington Bancshares, Inc. 13,787 291 Independent Bank Corp. 1,475 1,720 KeyCorp 18,146 107 M&T Bank Corp. 7,531 986 Marshall & Ilsley Corp. 14,987 88 National Penn Bancshares, Inc. 1,182 82 Old National Bancorp 1,245 66 PNC Financial Services Group, Inc. 4,705 43 Prosperity Bancshares, Inc. 1,380 364 Provident Bankshares Corp. 3,312 1,731 Regions Financial Corp. 16,410 128 Sterling Bancshares, Inc. 1,244 1,431 Sterling Financial Corp. 10,704 209 SunTrust Banks, Inc. 8,582 85 Susquehanna Bancshares, Inc. 1,217 629 Synovus Financial Corp. 5,982 685 TCF Financial Corp. 8,734 192 Umpqua Holdings Corp. 2,607 51 United Bankshares, Inc. 1,285 409 United Community Banks, Inc. 4,356 973 Wachovia Corp. 16,804 591 Webster Financial Corp. 11,737 318 Wells Fargo & Co. 9,626 191 Whitney Holding Corp. 3,927 101 Wilmington Trust Corp. 2,381 146 Wintrust Financial Corp. 3,015 480 Zions Bancorporation 14,050 ------------- 340,678 ------------- COMMERCIAL SERVICES & SUPPLIES--3.9% 42 Administaff, Inc. 1,206 898 Allied Waste Industries, Inc. (b) 10,866 109 Angelica Corp. 2,391 172 Avery Dennison Corp. 7,570 273 Bowne & Co., Inc. 3,530 91 CDI Corp. 1,873 570 Cintas Corp. 16,211 94 Consolidated Graphics, Inc. (b) 3,149 308 Deluxe Corp. 4,404 153 G&K Services, Inc., Class A 5,208 168 Heidrick & Struggles International, Inc. 4,764 221 Herman Miller, Inc. 5,777 778 HNI Corp. 16,844 186 Interface, Inc., Class A 2,204 711 Kelly Services, Inc., Class A 13,090 189 Manpower, Inc. 9,072 183 Monster Worldwide, Inc. (b) 3,246 1,292 MPS Group, Inc. (b) 14,884 145 On Assignment, Inc. (b) 1,237 127 R.R. Donnelley & Sons Co. 3,391 473 Robert Half International, Inc. 11,962 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 117 School Specialty, Inc. (b) $ 3,897 1,283 Spherion Corp. (b) 6,274 352 TrueBlue, Inc. (b) 5,315 126 United Stationers, Inc. (b) 4,830 180 Viad Corp. 5,486 498 Volt Information Sciences, Inc. (b) 6,907 200 Waste Management, Inc. 7,108 ------------- 182,696 ------------- COMMUNICATIONS EQUIPMENT--1.1% 413 Arris Group, Inc. (b) 3,952 143 Avocent Corp. (b) 3,401 188 Bel Fuse, Inc., Class B 5,332 171 Black Box Corp. 5,079 163 Ciena Corp. (b) 3,369 492 Corning, Inc. 9,845 755 Digi International, Inc. (b) 7,641 226 Foundry Networks, Inc. (b) 3,941 122 Harmonic, Inc. (b) 950 1,310 Network Equipment Technologies, Inc. (b) 3,825 121 PC-Tel, Inc. 1,262 812 Tellabs, Inc. (b) 4,174 ------------- 52,771 ------------- COMPUTERS & PERIPHERALS--0.6% 257 EMC Corp. (b) 3,858 346 Hutchinson Technology, Inc. (b) 5,135 532 Novatel Wireless, Inc. (b) 4,974 1,389 Sun Microsystems, Inc. (b) 14,764 ------------- 28,731 ------------- CONSTRUCTION & ENGINEERING--0.7% 946 Dycom Industries, Inc. (b) 15,013 41 EMCOR Group, Inc. (b) 1,235 436 Granite Construction, Inc. 13,791 76 Insituform Technologies, Inc., Class A (b) 1,314 64 URS Corp. (b) 2,683 ------------- 34,036 ------------- CONSTRUCTION MATERIALS--0.3% 41 Texas Industries, Inc. 2,120 190 Vulcan Materials Co. 12,196 ------------- 14,316 ------------- CONSUMER FINANCE--1.1% 1,275 AmeriCredit Corp. (b) 11,182 398 Capital One Financial Corp. 16,660 150 Cash America International, Inc. 6,324 860 Discover Financial Services 12,599 1,131 Rewards Network, Inc. (b) 5,621 ------------- 52,386 ------------- CONTAINERS & PACKAGING--2.1% 842 Bemis Co., Inc. 23,711 1,978 Chesapeake Corp. (b) 3,560 727 Myers Industries, Inc. 8,142 |
See Notes to Financial Statements Page 79
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 383 Packaging Corp. of America $ 9,774 78 Rock-Tenn Co., Class A 2,773 994 Sealed Air Corp. 21,570 178 Sonoco Products Co. 5,806 1,219 Temple-Inland, Inc. 19,809 ------------- 95,145 ------------- DISTRIBUTORS--0.3% 118 Audiovox Corp., Class A (b) 1,077 286 Genuine Parts Co. 11,472 ------------- 12,549 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 109 Hillenbrand, Inc. 2,523 521 Regis Corp. 14,584 557 Service Corp. International 5,330 ------------- 22,437 ------------- DIVERSIFIED FINANCIAL SERVICES--1.1% 475 Bank of America Corp. 15,628 2,219 CIT Group, Inc. 18,816 53 Financial Federal Corp. 1,222 330 JPMorgan Chase & Co. 13,408 ------------- 49,074 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.9% 449 AT&T, Inc. 13,834 531 CenturyTel, Inc. 19,747 160 Embarq Corp. 7,323 645 FairPoint Communications, Inc. 4,476 333 Frontier Communications Corp. 3,849 508 General Communication, Inc., Class A (b) 4,557 2,884 Qwest Communications International, Inc. 11,046 320 Verizon Communications, Inc. 10,893 918 Windstream Corp. 10,943 ------------- 86,668 ------------- ELECTRIC UTILITIES--3.8% 55 ALLETE, Inc. 2,341 376 American Electric Power Co., Inc. 14,852 240 Central Vermont Public Service Corp. 5,290 199 Cleco Corp. 5,001 208 DPL, Inc. 5,279 869 Duke Energy Corp. 15,277 147 Edison International 7,106 235 El Paso Electric Co. (b) 4,855 46 FirstEnergy Corp. 3,383 58 FPL Group, Inc. 3,743 435 Great Plains Energy, Inc. 10,988 222 Hawaiian Electric Industries, Inc. 5,492 285 IDACORP, Inc. 8,496 SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 215 Northeast Utilities $ 5,409 442 Pepco Holdings, Inc. 11,023 614 Pinnacle West Capital Corp. 20,613 271 Progress Energy, Inc. 11,466 865 Sierra Pacific Resources 9,809 216 Southern Co. 7,644 119 UIL Holdings Corp. 3,722 75 Unisource Energy Corp. 2,291 511 Westar Energy, Inc. 11,283 ------------- 175,363 ------------- ELECTRICAL EQUIPMENT--1.2% 142 A.O. Smith Corp. 5,637 48 Acuity Brands, Inc. 1,961 137 Belden, Inc. 5,058 383 Cooper Industries Ltd., Class A 16,152 276 Hubbell, Inc., Class B 11,636 110 Regal-Beloit Corp. 4,593 290 Thomas & Betts Corp. (b) 12,000 ------------- 57,037 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.7% 358 Arrow Electronics, Inc. (b) 11,535 504 Avnet, Inc. (b) 13,739 285 Benchmark Electronics, Inc. (b) 4,172 167 Checkpoint Systems, Inc. (b) 3,519 590 CTS Corp. 7,587 164 Electro Scientific Industries, Inc. (b) 2,565 102 Gerber Scientific, Inc. (b) 1,211 619 Ingram Micro, Inc., Class A (b) 11,408 505 Insight Enterprises, Inc. (b) 6,444 230 Jabil Circuit, Inc. 3,740 2,544 KEMET Corp. (b) 3,460 74 Littelfuse, Inc. (b) 2,365 567 Methode Electronics, Inc. 6,345 464 Molex, Inc. 11,382 520 Newport Corp. (b) 5,455 143 Park Electrochemical Corp. 3,624 93 SYNNEX Corp. (b) 2,172 162 Tech Data Corp. (b) 5,649 349 Technitrol, Inc. 4,893 1,549 Vishay Intertechnology, Inc. (b) 13,894 ------------- 125,159 ------------- ENERGY EQUIPMENT & SERVICES--1.1% 70 Bristow Group, Inc. (b) 3,149 229 Patterson-UTI Energy, Inc. 6,508 247 Pioneer Drilling Co. (b) 3,925 116 Pride International, Inc. (b) 4,496 404 Rowan Cos., Inc. 16,080 66 SEACOR Holdings, Inc. (b) 5,522 211 Tidewater, Inc. 12,647 ------------- 52,327 ------------- |
Page 80 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING--1.4% 51 Great Atlantic & Pacific Tea (The) Co., Inc. (b) $ 811 131 Kroger (The) Co. 3,705 83 Longs Drug Stores Corp. 3,880 136 Nash Finch Co. 5,368 160 Ruddick Corp. 4,954 529 Safeway, Inc. 14,135 51 Spartan Stores, Inc. 1,213 611 SUPERVALU, Inc. 15,654 232 Walgreen Co. 7,967 319 Whole Foods Market, Inc. 7,072 ------------- 64,759 ------------- FOOD PRODUCTS--2.6% 560 Archer-Daniels-Midland Co. 16,033 784 ConAgra Foods, Inc. 16,998 112 Corn Products International, Inc. 5,209 50 Hain Celestial Group (The), Inc. (b) 1,307 238 Hormel Foods Corp. 8,608 127 J & J Snack Foods Corp. 4,022 203 J.M. Smucker (The) Co. 9,894 133 Kraft Foods, Inc., Class A 4,232 272 Lancaster Colony Corp. 8,843 172 Sanderson Farms, Inc. 6,835 925 Sara Lee Corp. 12,636 553 Smithfield Foods, Inc. (b) 11,878 96 TreeHouse Foods, Inc. (b) 2,602 759 Tyson Foods, Inc., Class A 11,309 ------------- 120,406 ------------- GAS UTILITIES--0.9% 238 AGL Resources, Inc. 8,225 126 Atmos Energy Corp. 3,335 29 Laclede Group (The), Inc. 1,230 45 National Fuel Gas Co. 2,241 266 Nicor, Inc. 10,593 25 Northwest Natural Gas Co. 1,131 44 Piedmont Natural Gas Co. 1,178 86 Southern Union Co. 2,246 117 Southwest Gas Corp. 3,381 81 UGI Corp. 2,192 237 WGL Holdings, Inc. 8,184 ------------- 43,936 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% 99 Hill-Rom Holdings, Inc. 2,781 114 Invacare Corp. 2,682 409 Osteotech, Inc. (b) 2,356 961 Theragenics Corp. (b) 3,479 ------------- 11,298 ------------- HEALTH CARE PROVIDERS & SERVICES--2.7% 186 Aetna, Inc. 7,628 285 AMERIGROUP Corp. (b) 7,239 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 94 AmerisourceBergen Corp. $ 3,936 73 Cardinal Health, Inc. 3,922 63 Chemed Corp. 2,696 107 CIGNA Corp. 3,961 161 Cross Country Healthcare, Inc. (b) 2,568 61 Gentiva Health Services, Inc. (b) 1,558 410 Health Management Associates, Inc., Class A (b) 2,522 475 Humana, Inc. (b) 20,857 287 Kindred Healthcare, Inc. (b) 7,740 485 LifePoint Hospitals, Inc. (b) 13,886 259 MedCath Corp. (b) 4,836 102 Omnicare, Inc. 3,003 218 RehabCare Group, Inc. (b) 3,610 196 Res-Care, Inc. (b) 3,599 304 WellCare Health Plans, Inc. (b) 11,956 396 WellPoint, Inc. (b) 20,770 ------------- 126,287 ------------- HEALTH CARE TECHNOLOGY--0.1% 353 Omnicell, Inc. (b) 5,736 ------------- HOTELS, RESTAURANTS & LEISURE--3.0% 480 Bob Evans Farms, Inc. 13,747 875 Boyd Gaming Corp. 8,733 436 Brinker International, Inc. 8,018 312 California Pizza Kitchen, Inc. (b) 4,072 573 Carnival Corp. 21,166 109 CBRL Group, Inc. 2,635 93 CKE Restaurants, Inc. 1,141 68 International Speedway Corp., Class A 2,502 156 Jack in the Box, Inc. (b) 3,366 259 Landry's Restaurants, Inc. 3,774 186 Life Time Fitness, Inc. (b) 5,541 155 Marcus (The) Corp. 2,466 1,341 Multimedia Games, Inc. (b) 6,920 589 O'Charley's, Inc. 6,626 222 Pinnacle Entertainment, Inc. (b) 2,509 168 Red Robin Gourmet Burgers, Inc. (b) 4,171 1,097 Ruby Tuesday, Inc. 7,547 1,144 Ruth's Hospitality Group, Inc. (b) 5,457 94 Starwood Hotels & Resorts Worldwide, Inc. 3,223 551 Steak n Shake (The) Co. (b) 3,796 389 Texas Roadhouse, Inc., Class A (b) 3,610 1,055 Wyndham Worldwide Corp. 18,927 ------------- 139,947 ------------- HOUSEHOLD DURABLES--2.6% 1,113 American Greetings Corp., Class A 16,495 142 Ethan Allen Interiors, Inc. 3,564 121 Fortune Brands, Inc. 6,935 469 Libbey, Inc. 4,254 214 Mohawk Industries, Inc. (b) 12,620 |
See Notes to Financial Statements Page 81
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 72 National Presto Industries, Inc. $ 5,147 900 Newell Rubbermaid, Inc. 14,877 292 Russ Berrie and Co., Inc. (b) 2,835 145 Snap-on, Inc. 8,162 337 Stanley Works (The) 14,990 78 Tupperware Brands Corp. 3,042 111 Universal Electronics, Inc. (b) 2,522 306 Whirlpool Corp. 23,163 ------------- 118,606 ------------- HOUSEHOLD PRODUCTS--0.2% 63 Kimberly-Clark Corp. 3,643 62 Procter & Gamble (The) Co. 4,060 40 WD-40 Co. 1,367 ------------- 9,070 ------------- INDUSTRIAL CONGLOMERATES--0.7% 109 3M Co. 7,673 284 Carlisle Cos., Inc. 8,687 142 General Electric Co. 4,017 168 Standex International Corp. 3,678 79 Textron, Inc. 3,434 316 Tredegar Corp. 5,176 ------------- 32,665 ------------- INSURANCE--5.3% 206 ACE Ltd. 10,444 249 Allstate (The) Corp. 11,509 308 American Financial Group, Inc. 8,923 385 Chubb (The) Corp. 18,495 744 Cincinnati Financial Corp. 20,714 151 Delphi Financial Group, Inc., Class A 3,767 138 Everest Re Group Ltd. 11,288 212 Fidelity National Financial, Inc., Class A 2,832 101 First American Corp. 2,545 636 Genworth Financial, Inc., Class A 10,157 194 Hanover Insurance Group, Inc. 8,326 176 Hartford Financial Services Group (The), Inc. 11,157 650 HCC Insurance Holdings, Inc. 14,723 588 Horace Mann Educators Corp. 8,150 167 Lincoln National Corp. 7,966 81 Loews Corp. 3,609 57 Mercury General Corp. 2,879 143 MetLife, Inc. 7,260 235 National Financial Partners Corp. 4,900 225 Old Republic International Corp. 2,363 226 Presidential Life Corp. 3,625 72 ProAssurance Corp. (b) 3,524 70 Protective Life Corp. 2,517 63 Prudential Financial, Inc. 4,345 94 RLI Corp. 5,134 166 Safety Insurance Group, Inc. 7,050 248 Selective Insurance Group, Inc. 5,357 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE (CONTINUED) 64 Torchmark Corp. $ 3,715 110 Tower Group, Inc. 2,506 435 Travelers (The) Cos., Inc. 19,192 173 United Fire & Casualty Co. 4,700 199 Unitrin, Inc. 5,490 369 Unum Group 8,915 ------------- 248,077 ------------- INTERNET & CATALOG RETAIL--0.2% 316 NetFlix, Inc. (b) 9,761 ------------- INTERNET SOFTWARE & SERVICES--0.1% 241 Perficient, Inc. (b) 2,427 ------------- IT SERVICES--1.8% 478 Acxiom Corp. 6,138 749 CIBER, Inc. (b) 5,295 403 Computer Sciences Corp. (b) 19,089 1,271 Convergys Corp. (b) 16,141 316 CSG Systems International, Inc. (b) 5,606 460 Electronic Data Systems Corp. 11,413 367 Fidelity National Information Services, Inc. 6,955 648 Gevity HR, Inc. 4,828 124 NeuStar, Inc., Class A (b) 2,602 167 SI International, Inc. (b) 3,053 124 Startek, Inc. (b) 1,118 ------------- 82,238 ------------- LEISURE EQUIPMENT & PRODUCTS--1.3% 444 Arctic Cat, Inc. 3,952 559 Brunswick Corp. 7,211 1,161 Callaway Golf Co. 14,721 212 Hasbro, Inc. 8,209 271 JAKKS Pacific, Inc. (b) 5,957 883 Mattel, Inc. 17,703 125 RC2 Corp. (b) 2,870 ------------- 60,623 ------------- LIFE SCIENCES TOOLS & SERVICES--0.1% 396 Cambrex Corp. (b) 3,013 52 Varian, Inc. (b) 2,569 ------------- 5,582 ------------- MACHINERY--2.7% 108 Astec Industries, Inc. (b) 3,447 151 Barnes Group, Inc. 3,411 367 Briggs & Stratton Corp. 4,969 140 Cascade Corp. 6,143 156 Dover Corp. 7,742 222 Federal Signal Corp. 3,190 303 Ingersoll-Rand Co. Ltd., Class A 10,908 253 Kennametal, Inc. 7,529 278 Lydall, Inc. (b) 4,326 465 Manitowoc (The) Co., Inc. 12,258 144 Mueller Industries, Inc. 3,696 |
Page 82 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 664 Oshkosh Truck Corp. $ 11,979 181 PACCAR, Inc. 7,613 157 Pentair, Inc. 5,435 334 Timken (The) Co. 11,029 396 Trinity Industries, Inc. 14,906 461 Wabash National Corp. 4,287 140 Watts Water Technologies, Inc., Class A 4,136 ------------- 127,004 ------------- MARINE--0.2% 181 Alexander & Baldwin, Inc. 7,854 ------------- MEDIA--3.6% 775 CBS Corp., Class B 12,679 597 Comcast Corp., Class A 12,310 380 Entercom Communications Corp. 2,329 872 Gannett Co., Inc. 15,801 1,200 Harte-Hanks, Inc. 14,892 439 Interpublic Group of Cos., Inc. (b) 3,859 220 Live Nation, Inc. (b) 2,776 920 Media General, Inc., Class A 11,666 668 Meredith Corp. 17,074 245 New York Times (The) Co., Class A 3,085 1,256 News Corp., Class A 17,747 479 Scholastic Corp. 12,353 1,276 Time Warner, Inc. 18,272 247 Viacom, Inc., Class B (b) 6,899 242 Walt Disney (The) Co. 7,345 13 Washington Post (The) Co., Class B 8,037 ------------- 167,124 ------------- METALS & MINING--1.0% 122 A.M. Castle & Co. 2,469 318 Alcoa, Inc. 10,733 319 Allegheny Technologies, Inc. 15,085 315 Carpenter Technology Corp. 12,191 166 RTI International Metals, Inc. (b) 4,525 130 Worthington Industries, Inc. 2,306 ------------- 47,309 ------------- MULTILINE RETAIL--2.4% 404 99 Cents Only Stores (b) 2,703 242 Big Lots, Inc. (b) 7,371 1,632 Dillard's, Inc., Class A 16,500 758 Family Dollar Stores, Inc. 17,661 103 Fred's, Inc. 1,325 520 J. C. Penney Co., Inc. 16,032 973 Macy's, Inc. 18,301 374 Nordstrom, Inc. 10,749 500 Saks, Inc. (b) 5,095 244 Target Corp. 11,036 1,442 Tuesday Morning Corp. (b) 5,537 ------------- 112,310 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES--5.0% 401 Alliant Energy Corp. $ 12,924 358 Ameren Corp. 14,710 108 Avista Corp. 2,443 343 Black Hills Corp. 11,069 471 CenterPoint Energy, Inc. 7,428 98 CH Energy Group, Inc. 3,553 507 CMS Energy Corp. 6,845 387 Consolidated Edison, Inc. 15,364 239 Dominion Resources, Inc. 10,559 445 DTE Energy Co. 18,235 333 Energy East Corp. 8,322 149 Integrys Energy Group, Inc. 7,608 158 MDU Resources Group, Inc. 5,042 843 NiSource, Inc. 14,398 162 NSTAR 5,161 260 OGE Energy Corp. 8,507 286 PG&E Corp. 11,020 459 PNM Resources, Inc. 5,375 344 Puget Energy, Inc. 9,474 223 SCANA Corp. 8,070 201 Sempra Energy 11,288 527 TECO Energy, Inc. 9,776 176 Vectren Corp. 5,139 122 Wisconsin Energy Corp. 5,505 753 Xcel Energy, Inc. 15,105 ------------- 232,920 ------------- OFFICE ELECTRONICS--0.2% 557 Xerox Corp. 7,598 82 Zebra Technologies Corp., Class A (b) 2,526 ------------- 10,124 ------------- OIL, GAS & CONSUMABLE FUELS--1.6% 252 Anadarko Petroleum Corp. 14,593 174 El Paso Corp. 3,120 364 Marathon Oil Corp. 18,007 173 Overseas Shipholding Group, Inc. 13,624 131 Spectra Energy Corp. 3,559 90 Stone Energy Corp. (b) 4,592 955 Tesoro Corp. 14,745 159 World Fuel Services Corp. 3,832 ------------- 76,072 ------------- PAPER & FOREST PRODUCTS--1.2% 700 Buckeye Technologies, Inc. (b) 6,825 811 International Paper Co. 22,480 634 MeadWestvaco Corp. 16,998 278 Neenah Paper, Inc. 5,193 207 Schweitzer-Mauduit International, Inc. 3,852 302 Wausau Paper Corp. 2,676 ------------- 58,024 ------------- PHARMACEUTICALS--1.4% 164 Eli Lilly and Co. 7,726 1,804 King Pharmaceuticals, Inc. (b) 20,764 |
See Notes to Financial Statements Page 83
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 100 Merck & Co., Inc. $ 3,290 649 Pfizer, Inc. 12,117 536 ViroPharma, Inc. (b) 6,598 556 Watson Pharmaceuticals, Inc. (b) 16,074 ------------- 66,569 ------------- REAL ESTATE INVESTMENT TRUSTS--0.7% 296 Colonial Properties Trust 5,908 107 DiamondRock Hospitality Co. 987 24 Entertainment Properties Trust 1,287 337 Hospitality Properties Trust 7,178 553 Host Hotels & Resorts, Inc. 7,250 230 Medical Properties Trust, Inc. 2,551 56 National Retail Properties, Inc. 1,184 63 Rayonier, Inc. 2,943 60 Senior Housing Properties Trust 1,263 ------------- 30,551 ------------- ROAD & RAIL--1.1% 127 Arkansas Best Corp. 4,717 1,313 Avis Budget Group, Inc. (b) 8,009 56 Con-way, Inc. 2,831 60 Norfolk Southern Corp. 4,315 219 Ryder System, Inc. 14,446 50 Union Pacific Corp. 4,122 591 Werner Enterprises, Inc. 14,072 ------------- 52,512 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.5% 85 Advanced Energy Industries, Inc. (b) 1,175 119 Analog Devices, Inc. 3,631 198 Applied Materials, Inc. 3,429 766 Atmel Corp. (b) 2,704 281 Brooks Automation, Inc. (b) 2,195 70 Cabot Microelectronics Corp. (b) 2,733 173 Cymer, Inc. (b) 4,583 444 Cypress Semiconductor Corp. (b) 12,099 937 Fairchild Semiconductor International, Inc. (b) 11,385 51 FEI Co. (b) 1,288 553 Integrated Device Technology, Inc. (b) 5,541 528 Intel Corp. 11,716 572 International Rectifier Corp. (b) 9,655 226 Intersil Corp., Class A 5,453 186 KLA-Tencor Corp. 6,992 478 Kulicke & Soffa Industries, Inc. (b) 3,040 304 Lam Research Corp. (b) 9,999 254 Micrel, Inc. 2,418 1,259 Micron Technology, Inc. (b) 6,081 212 MKS Instruments, Inc. (b) 4,367 713 Novellus Systems, Inc. (b) 14,523 660 Photronics, Inc. (b) 2,805 1,895 RF Micro Devices, Inc. (b) 6,197 151 Rudolph Technologies, Inc. (b) 1,318 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 391 Semtech Corp. (b) $ 5,697 86 Standard Microsystems Corp. (b) 2,281 50 Supertex, Inc. (b) 1,501 341 Teradyne, Inc. (b) 3,195 537 Texas Instruments, Inc. 13,091 ------------- 161,092 ------------- SOFTWARE--0.4% 1,360 Cadence Design Systems, Inc. (b) 10,050 123 Jack Henry & Associates, Inc. 2,656 330 Parametric Technology Corp. (b) 6,392 45 Progress Software Corp. (b) 1,324 ------------- 20,422 ------------- SPECIALTY RETAIL--6.7% 265 Aaron Rents, Inc. 7,280 459 AnnTaylor Stores Corp. (b) 10,350 1,885 AutoNation, Inc. (b) 19,452 442 Barnes & Noble, Inc. 10,458 783 Big 5 Sporting Goods Corp. 6,256 1,832 Borders Group, Inc. 8,977 437 Brown Shoe Co., Inc. 7,053 538 Cabela's, Inc., Class A (b) 6,252 387 CarMax, Inc. (b) 5,186 245 Cato (The) Corp., Class A 4,383 334 Charlotte Russe Holding, Inc. (b) 4,329 709 Collective Brands, Inc. (b) 9,132 465 Dick's Sporting Goods, Inc. (b) 8,161 441 Foot Locker, Inc. 6,641 906 Gap (The), Inc. 14,605 192 Genesco, Inc. (b) 5,645 298 Group 1 Automotive, Inc. 5,856 232 Haverty Furniture Cos., Inc. 2,649 645 Home Depot (The), Inc. 15,370 1,095 Hot Topic, Inc. (b) 6,888 101 Jo-Ann Stores, Inc. (b) 2,219 1,121 Limited Brands, Inc. 18,484 1,204 Lithia Motors, Inc., Class A 5,599 648 MarineMax, Inc. (b) 4,264 364 Men's Wearhouse (The), Inc. 7,247 1,726 Office Depot, Inc. (b) 11,737 426 OfficeMax, Inc. 5,436 133 Pep Boys-Manny, Moe & Jack (The) 982 551 PetSmart, Inc. 12,513 1,539 RadioShack Corp. 25,670 668 Rent-A-Center, Inc. (b) 14,162 329 Sherwin-Williams (The) Co. 17,519 460 Sonic Automotive, Inc., Class A 4,632 515 Stein Mart, Inc. 2,302 185 Tiffany & Co. 6,991 282 Tween Brands, Inc. (b) 3,883 123 Zale Corp. (b) 2,721 ------------- 311,284 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.3% 289 Iconix Brand Group, Inc. (b) 3,468 275 Jones Apparel Group, Inc. 4,604 |
Page 84 See Notes to Financial Statements
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Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 258 Maidenform Brands, Inc. (b) $ 3,950 299 Movado Group, Inc. 6,429 309 Oxford Industries, Inc. 6,501 164 Perry Ellis International, Inc. (b) 3,567 225 Phillips-Van Heusen Corp. 7,965 235 Skechers U.S.A., Inc., Class A (b) 4,442 78 UniFirst Corp. 3,492 212 VF Corp. 15,174 ------------- 59,592 ------------- THRIFTS & MORTGAGE FINANCE--0.5% 663 Anchor BanCorp Wisconsin, Inc. 4,774 1,424 Corus Bankshares, Inc. 5,568 207 First Niagara Financial Group, Inc. 2,896 1,545 Flagstar Bancorp, Inc. 6,859 216 Guaranty Financial Group, Inc. (b) 715 147 Washington Federal, Inc. 2,734 ------------- 23,546 ------------- TOBACCO--1.2% 227 Alliance One International, Inc. (b) 1,015 735 Altria Group, Inc. 14,957 109 Lorillard, Inc. (b) 7,315 324 Reynolds American, Inc. 18,089 243 Universal Corp. 12,544 ------------- 53,920 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 144 Applied Industrial Technologies, Inc. 3,848 186 GATX Corp. 8,457 51 Kaman Corp. 1,279 94 Lawson Products 2,756 700 United Rentals, Inc. (b) 11,327 28 Watsco, Inc. 1,396 ------------- 29,063 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% 174 Telephone and Data Systems, Inc. 7,378 ------------- TOTAL COMMON STOCKS--99.9% (Cost $5,459,391) 4,641,200 MONEY MARKET FUND--1.4% 67,853 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $67,853) 67,853 ------------- DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS--101.3% (Cost $5,527,244) (d) $ 4,709,053 NET OTHER ASSETS AND LIABILITIES--(1.3%) (62,417) ------------- NET ASSETS--100.0% $ 4,646,636 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $5,533,308. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $134,599 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $958,854.
(e) This company filed for protection in federal bankruptcy court subsequent to the date of this report.
See Notes to Financial Statements Page 85
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Portfolio of Investments (a)
July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.2% 188 Alliant Techsystems, Inc. (b) $ 18,610 269 Curtiss-Wright Corp. 14,160 404 DRS Technologies, Inc. 31,835 245 Esterline Technologies Corp. (b) 11,951 388 General Dynamics Corp. 34,587 163 Honeywell International, Inc. 8,287 90 L-3 Communications Holdings, Inc. 8,882 249 Lockheed Martin Corp. 25,978 511 Orbital Sciences Corp. (b) 12,780 185 Teledyne Technologies, Inc. (b) 11,637 ------------- 178,707 ------------- AIR FREIGHT & LOGISTICS--0.9% 596 C.H. Robinson Worldwide, Inc. 28,726 570 Expeditors International of Washington, Inc. 20,241 261 Forward Air Corp. 9,550 353 Hub Group, Inc., Class A (b) 13,718 ------------- 72,235 ------------- AUTO COMPONENTS--0.2% 430 BorgWarner, Inc. 17,338 ------------- BEVERAGES--0.9% 526 Anheuser-Busch Cos., Inc. 35,642 222 Boston Beer (The) Co., Inc., Class A (b) 10,054 433 Brown-Forman Corp., Class B 31,159 ------------- 76,855 ------------- BIOTECHNOLOGY--2.1% 173 Amgen, Inc. (b) 10,835 293 Biogen Idec, Inc. (b) 20,440 512 Celgene Corp. (b) 38,650 337 Cubist Pharmaceuticals, Inc. (b) 7,636 341 Genzyme Corp. (b) 26,138 618 Gilead Sciences, Inc. (b) 33,360 357 Martek Biosciences Corp. (b) 13,427 238 Savient Pharmaceuticals, Inc. (b) 6,326 380 Vertex Pharmaceuticals, Inc. (b) 13,110 ------------- 169,922 ------------- CAPITAL MARKETS--2.0% 398 Charles Schwab (The) Corp. 9,110 320 Eaton Vance Corp. 11,885 93 Goldman Sachs Group (The), Inc. 17,116 618 Janus Capital Group, Inc. 18,750 378 Jefferies Group, Inc. 7,178 358 Northern Trust Corp. 27,985 131 optionsXpress Holdings, Inc. 3,250 482 Raymond James Financial, Inc. 13,930 128 State Street Corp. 9,170 434 T. Rowe Price Group, Inc. 25,975 289 TradeStation Group, Inc. (b) 3,115 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 545 Waddell & Reed Financial, Inc., Class A $ 18,203 ------------- 165,667 ------------- CHEMICALS--4.0% 331 Air Products and Chemicals, Inc. 31,515 545 Airgas, Inc. 31,218 319 Albemarle Corp. 12,419 208 CF Industries Holding, Inc. 34,000 475 Eastman Chemical Co. 28,481 380 Ecolab, Inc. 16,986 328 FMC Corp. 24,393 483 Hercules, Inc. 9,684 100 Minerals Technologies, Inc. 6,451 323 Monsanto Co. 38,472 182 NewMarket Corp. 11,240 347 Praxair, Inc. 32,524 304 Sigma-Aldrich Corp. 18,465 644 Terra Industries, Inc. 34,776 ------------- 330,624 ------------- COMMERCIAL BANKS--0.8% 197 First Financial Bankshares, Inc. 9,040 75 Hancock Holding Co. 3,367 198 PrivateBancorp, Inc. 5,851 114 Signature Bank (b) 3,355 264 SVB Financial Group (b) 15,204 235 UMB Financial Corp. 12,941 121 Westamerica Bancorporation 6,292 703 Wilshire Bancorp, Inc. 8,661 ------------- 64,711 ------------- COMMERCIAL SERVICES & SUPPLIES--2.6% 389 Brink's (The) Co. 26,826 264 ChoicePoint, Inc. (b) 12,632 594 Copart, Inc. (b) 26,053 231 Corrections Corp. of America (b) 6,475 73 Dun & Bradstreet (The) Corp. 7,055 486 Equifax, Inc. 17,054 404 Korn/Ferry International (b) 7,070 159 Mine Safety Appliances Co. 5,253 301 Mobile Mini, Inc. (b) 6,014 1,300 Navigant Consulting, Inc. (b) 24,024 240 Pitney Bowes, Inc. 7,606 214 Republic Services, Inc. 6,955 123 Stericycle, Inc. (b) 7,349 799 Sykes Enterprises, Inc. (b) 14,110 533 Tetra Tech, Inc. (b) 15,313 283 Waste Connections, Inc. (b) 10,298 228 Watson Wyatt Worldwide, Inc., Class A 13,210 ------------- 213,297 ------------- COMMUNICATIONS EQUIPMENT--1.7% 533 ADTRAN, Inc. 11,918 603 CommScope, Inc. (b) 26,888 |
Page 86 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 246 Comtech Telecommunications Corp. (b) $ 12,086 671 F5 Networks, Inc. (b) 19,560 252 Harris Corp. 12,134 285 Plantronics, Inc. 6,940 522 Polycom, Inc. (b) 12,319 737 QUALCOMM, Inc. 40,785 ------------- 142,630 ------------- COMPUTERS & PERIPHERALS--2.3% 195 Apple, Inc. (b) 30,995 1,121 Dell, Inc. (b) 27,543 555 Hewlett-Packard Co. 24,864 276 International Business Machines Corp. 35,323 245 Lexmark International, Inc., Class A (b) 8,595 505 NCR Corp. (b) 13,564 377 NetApp, Inc. (b) 9,632 319 Synaptics, Inc. (b) 15,382 921 Western Digital Corp. (b) 26,516 ------------- 192,414 ------------- CONSTRUCTION & ENGINEERING--1.7% 439 Fluor Corp. 35,713 405 Jacobs Engineering Group, Inc. (b) 31,323 546 KBR, Inc. 15,561 956 Quanta Services, Inc. (b) 29,521 515 Shaw Group (The), Inc. (b) 29,767 ------------- 141,885 ------------- CONSTRUCTION MATERIALS--0.0% 249 Headwaters, Inc. (b) 3,264 ------------- CONSUMER FINANCE--0.4% 804 First Cash Financial Services, Inc. (b) 15,332 423 SLM Corp. (b) 7,246 268 World Acceptance Corp. (b) 8,780 ------------- 31,358 ------------- CONTAINERS & PACKAGING--0.7% 606 AptarGroup, Inc. 23,452 685 Ball Corp. 30,538 ------------- 53,990 ------------- DISTRIBUTORS--0.1% 333 LKQ Corp. (b) 6,827 ------------- DIVERSIFIED CONSUMER SERVICES--1.5% 368 Coinstar, Inc. (b) 12,692 1,095 Corinthian Colleges, Inc. (b) 17,246 474 DeVry, Inc. 26,928 1,146 H&R Block, Inc. 27,883 154 ITT Educational Services, Inc. (b) 13,641 122 Strayer Education, Inc. 27,169 ------------- 125,559 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.4% 697 Leucadia National Corp. $ 31,205 ------------- ELECTRICAL EQUIPMENT--1.5% 404 AMETEK, Inc. 19,335 431 Baldor Electric Co. 14,676 262 Brady Corp., Class A 9,608 331 Emerson Electric Co. 16,120 259 II-VI, Inc. (b) 9,961 2,136 Magnetek Inc. (b) 9,932 386 Roper Industries, Inc. 23,615 422 Woodward Governor Co. 18,990 ------------- 122,237 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.2% 690 Agilent Technologies, Inc. (b) 24,881 425 Amphenol Corp., Class A 20,260 152 Anixter International, Inc. (b) 10,341 402 Brightpoint, Inc. (b) 2,770 448 Daktronics, Inc. 7,997 117 FARO Technologies, Inc. (b) 2,773 784 FLIR Systems, Inc. (b) 31,940 153 Itron, Inc. (b) 14,126 82 MTS Systems Corp. 3,435 224 National Instruments Corp. 7,627 435 Plexus Corp. (b) 12,398 324 RadiSys Corp. (b) 3,752 78 Rogers Corp. (b) 3,222 110 ScanSource, Inc. (b) 3,376 712 Trimble Navigation Ltd. (b) 23,638 1,140 TTM Technologies, Inc. (b) 12,825 ------------- 185,361 ------------- ENERGY EQUIPMENT & SERVICES--8.2% 242 Atwood Oceanics, Inc. (b) 11,110 374 Baker Hughes, Inc. 31,008 478 Basic Energy Services, Inc. (b) 12,868 1,024 BJ Services Co. 30,106 739 Cameron International Corp. (b) 35,295 206 CARBO Ceramics, Inc. 11,272 191 Dril-Quip, Inc. (b) 10,341 506 ENSCO International, Inc. 34,985 267 Exterran Holdings, Inc. (b) 15,069 413 FMC Technologies, Inc. (b) 25,515 308 Gulf Island Fabrication, Inc. 13,660 770 Halliburton Co. 34,511 362 Helix Energy Solutions Group, Inc. (b) 11,559 441 Helmerich & Payne, Inc. 26,076 267 Hornbeck Offshore Services, Inc. (b) 11,903 863 ION Geophysical Corp. (b) 13,782 109 Lufkin Industries, Inc. 9,723 653 Matrix Service Co. (b) 14,738 664 Nabors Industries Ltd. (b) 24,209 221 NATCO Group, Inc., Class A (b) 10,531 461 National Oilwell Varco, Inc. (b) 36,248 |
See Notes to Financial Statements Page 87
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 629 Noble Corp. $ 32,626 195 Oceaneering International, Inc. (b) 11,825 381 Schlumberger Ltd. 38,711 492 Smith International, Inc. 36,595 577 Superior Energy Services, Inc. (b) 27,367 475 Superior Well Services, Inc. (b) 15,086 508 TETRA Technologies, Inc. (b) 9,616 215 Transocean, Inc. (b) 29,246 145 Unit Corp. (b) 9,795 824 Weatherford International Ltd. (b) 31,090 157 W-H Energy Services, Inc. (b) 14,370 ------------- 680,836 ------------- FOOD & STAPLES RETAILING--2.3% 296 Andersons (The), Inc. 13,453 657 BJ's Wholesale Club, Inc. (b) 24,657 520 Casey's General Stores, Inc. 12,792 583 Costco Wholesale Corp. 36,542 1,033 CVS Caremark Corp. 37,705 594 Sysco Corp. 16,846 309 United Natural Foods, Inc. (b) 5,939 727 Wal-Mart Stores, Inc. 42,617 ------------- 190,551 ------------- FOOD PRODUCTS--1.9% 244 Campbell Soup Co. 8,877 912 Darling International, Inc. (b) 14,756 531 Flowers Foods, Inc. 15,967 404 General Mills, Inc. 26,014 401 Green Mountain Coffee Roasters, Inc. (b) 14,576 170 Kellogg Co. 9,020 459 McCormick & Co., Inc. 18,406 183 Ralcorp Holdings, Inc. (b) 9,875 526 Wm. Wrigley Jr. Co. 41,533 ------------- 159,024 ------------- GAS UTILITIES--0.6% 244 Energen Corp. 14,689 276 Equitable Resources, Inc. 14,421 345 Questar Corp. 18,243 ------------- 47,353 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.2% 122 Abaxis, Inc. (b) 2,427 604 American Medical Systems Holdings, Inc. (b) 9,948 47 Analogic Corp. 3,439 221 ArthroCare Corp. (b) 4,672 384 Baxter International, Inc. 26,346 188 Beckman Coulter, Inc. 13,600 201 Becton, Dickinson & Co. 17,067 1,761 BioLase Technology Inc. (b) 5,177 93 C.R. Bard, Inc. 8,634 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 340 CONMED Corp. (b) $ 10,333 162 Cooper (The) Cos., Inc. 5,459 790 CryoLife, Inc. (b) 10,736 416 Cyberonics, Inc. (b) 11,490 173 DENTSPLY International, Inc. 6,963 410 Edwards Lifesciences Corp. (b) 25,699 170 Greatbatch, Inc. (b) 3,478 53 Haemonetics Corp. (b) 3,077 611 Hospira, Inc. (b) 23,316 124 IDEXX Laboratories, Inc. (b) 6,634 113 Immucor, Inc. (b) 3,405 271 Integra LifeSciences Holdings (b) 12,374 30 Intuitive Surgical, Inc. (b) 9,339 188 Kensey Nash Corp. (b) 6,529 316 Medtronic, Inc. 16,694 105 Mentor Corp. 2,605 109 Meridian Bioscience, Inc. 2,835 410 Merit Medical Systems, Inc. (b) 8,286 400 St. Jude Medical, Inc. (b) 18,632 442 STERIS Corp. 15,103 130 Stryker Corp. 8,345 134 SurModics, Inc. (b) 5,640 557 Symmetry Medical, Inc. (b) 9,307 106 Vital Signs, Inc. 7,754 139 West Pharmaceutical Services, Inc. 6,383 447 Zoll Medical Corp. (b) 14,081 ------------- 345,807 ------------- HEALTH CARE PROVIDERS & SERVICES--4.1% 299 Amedisys, Inc. (b) 19,172 534 AMN Healthcare Services, Inc. (b) 10,093 371 AmSurg Corp. (b) 9,943 656 Apria Healthcare Group, Inc. (b) 12,602 718 Centene Corp. (b) 16,019 771 Community Health Systems, Inc. (b) 25,428 261 Express Scripts, Inc. (b) 18,411 500 HealthExtras, Inc. (b) 15,005 892 Healthspring, Inc. (b) 17,349 247 Henry Schein, Inc. (b) 13,229 137 HMS Holdings Corp. (b) 3,409 217 inVentiv Health, Inc. (b) 5,243 117 Laboratory Corp. of America Holdings (b) 7,907 518 LHC Group, Inc. (b) 14,514 224 Lincare Holdings, Inc. (b) 7,217 163 Magellan Health Services, Inc. (b) 6,805 693 Medco Health Solutions, Inc. (b) 34,358 371 Molina Healthcare, Inc. (b) 11,071 928 Odyssey HealthCare, Inc. (b) 8,742 370 PSS World Medical, Inc. (b) 6,201 840 Psychiatric Solutions, Inc. (b) 29,416 506 Quest Diagnostics, Inc. 26,899 402 Universal Health Services, Inc., Class B 24,369 ------------- 343,402 ------------- |
Page 88 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY--0.3% 141 Cerner Corp. (b) $ 6,297 702 IMS Health, Inc. 14,672 335 Phase Forward, Inc. (b) 6,164 ------------- 27,133 ------------- HOTELS, RESTAURANTS & LEISURE--1.6% 243 Buffalo Wild Wings, Inc. (b) 8,002 215 CEC Entertainment, Inc. (b) 7,495 768 Darden Restaurants, Inc. 25,013 161 DineEquity, Inc. 3,719 291 McDonald's Corp. 17,399 131 P.F. Chang's China Bistro, Inc. (b) 3,406 326 Panera Bread Co., Class A (b) 16,333 453 Papa John's International, Inc. (b) 12,815 148 Peet's Coffee & Tea, Inc. (b) 2,885 429 Scientific Games Corp., Class A (b) 13,016 99 WMS Industries, Inc. (b) 2,790 466 Yum! Brands, Inc. 16,692 ------------- 129,565 ------------- HOUSEHOLD PRODUCTS--0.3% 339 Church & Dwight Co., Inc. 18,601 118 Colgate-Palmolive Co. 8,764 ------------- 27,365 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.4% 1,702 AES (The) Corp. (b) 27,470 100 Constellation Energy Group 8,316 ------------- 35,786 ------------- INSURANCE--1.8% 391 Aflac, Inc. 21,744 356 Aon Corp. 16,305 277 Hilb Rogal and Hobbs Co. 12,008 218 Infinity Property & Casualty Corp. 9,714 167 Navigators Group (The), Inc. (b) 7,943 177 Philadelphia Consolidated Holding Co. (b) 10,346 873 Progressive (The) Corp. 17,678 609 Safeco Corp. 40,290 271 StanCorp Financial Group, Inc. 13,385 ------------- 149,413 ------------- INTERNET & CATALOG RETAIL--0.6% 334 Amazon.com, Inc. (b) 25,497 984 PetMed Express, Inc. (b) 14,268 483 Stamps.com, Inc. (b) 6,574 ------------- 46,339 ------------- INTERNET SOFTWARE & SERVICES--0.7% 705 Akamai Technologies, Inc. (b) 16,455 330 Digital River, Inc. (b) 13,164 31 Google, Inc., Class A (b) 14,686 128 j2 Global Communications, Inc. (b) 3,068 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 216 VeriSign, Inc. (b) $ 7,029 174 Websense, Inc. (b) 3,631 ------------- 58,033 ------------- IT SERVICES--2.7% 611 Affiliated Computer Services, Inc., Class A (b) 29,450 112 Alliance Data Systems Corp. (b) 7,185 195 Automatic Data Processing, Inc. 8,328 604 Broadridge Financial Solutions, Inc. 12,503 329 CACI International Inc., Class A (b) 14,792 754 Cognizant Technology Solutions Corp., Class A (b) 21,165 720 CyberSource Corp. (b) 12,780 180 Fiserv, Inc. (b) 8,608 921 Gartner, Inc. (b) 22,436 409 Global Payments, Inc. 18,115 313 ManTech International Corp., Class A (b) 17,478 173 MAXIMUS, Inc. 6,420 283 SRA International, Inc., Class A (b) 6,212 1,323 Western Union Co. 36,567 ------------- 222,039 ------------- LEISURE EQUIPMENT & PRODUCTS--0.0% 73 Polaris Industries, Inc. 3,124 ------------- LIFE SCIENCES TOOLS & SERVICES--2.8% 488 Applied Biosystems, Inc. 18,022 298 Charles River Laboratories International, Inc. (b) 19,805 222 Covance, Inc. (b) 20,380 537 Enzo Biochem, Inc. (b) 7,631 166 Kendle International, Inc. (b) 6,831 241 Millipore Corp. (b) 16,954 572 PAREXEL International Corp. (b) 16,720 1,468 PerkinElmer, Inc. 42,718 296 Pharmaceutical Product Development, Inc. 11,289 246 Techne Corp. (b) 19,562 587 Thermo Fisher Scientific, Inc. (b) 35,525 254 Waters Corp. (b) 17,257 ------------- 232,694 ------------- MACHINERY--7.3% 364 AGCO Corp. (b) 21,785 332 Caterpillar, Inc. 23,081 84 CLARCOR, Inc. 3,236 330 Crane Co. 11,715 624 Cummins, Inc. 41,396 317 Danaher Corp. 25,249 227 Deere & Co. 15,926 570 Donaldson Co., Inc. 25,713 289 Eaton Corp. 20,531 403 EnPro Industries, Inc. (b) 14,512 |
See Notes to Financial Statements Page 89
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 233 Flowserve Corp. $ 31,068 265 Gardner Denver, Inc. (b) 12,084 167 Graco, Inc. 6,050 234 Harsco Corp. 12,659 518 IDEX Corp. 19,596 344 Illinois Tool Works, Inc. 16,116 645 ITT Corp. 43,190 335 Joy Global, Inc. 24,194 176 Kaydon Corp. 8,346 323 Lincoln Electric Holdings, Inc. 25,953 142 Lindsay Corp. 13,102 436 Nordson Corp. 30,808 618 Pall Corp. 24,980 459 Parker Hannifin Corp. 28,311 302 Robbins & Myers, Inc. 15,333 241 SPX Corp. 30,554 159 Terex Corp. (b) 7,525 144 Valmont Industries, Inc. 15,395 654 Wabtec Corp. 36,297 ------------- 604,705 ------------- MARINE--0.1% 126 Kirby Corp. (b) 6,013 ------------- MEDIA--2.0% 127 Arbitron, Inc. 5,969 1,578 DIRECTV Group (The), Inc. (b) 42,638 853 DreamWorks Animation SKG, Inc., Class A (b) 25,334 319 E.W. Scripps (The) Co., Class A 2,207 565 John Wiley & Sons, Inc., Class A 25,617 594 Marvel Entertainment, Inc. (b) 20,612 547 Omnicom Group, Inc. 23,351 2,539 Valassis Communications, Inc. (b) 22,394 ------------- 168,122 ------------- METALS & MINING--3.7% 592 AK Steel Holding Corp. 37,592 212 AMCOL International Corp. 6,767 181 Century Aluminum Co. (b) 10,755 267 Cleveland-Cliffs, Inc. 28,945 843 Commercial Metals Co. 25,164 349 Freeport-McMoRan Copper & Gold, Inc. 33,766 784 Newmont Mining Corp. 37,600 547 Nucor Corp. 31,299 198 Olympic Steel, Inc. 10,068 412 Reliance Steel & Aluminum Co. 26,022 814 Steel Dynamics, Inc. 25,788 221 United States Steel Corp. 35,440 ------------- 309,206 ------------- MULTILINE RETAIL--0.3% 584 Dollar Tree, Inc. (b) 21,900 ------------- OFFICE ELECTRONICS--0.1% 195 Zebra Technologies Corp., Class A (b) 6,008 ------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--8.9% 294 Apache Corp. $ 32,978 339 Arch Coal, Inc. 19,089 428 Bill Barrett Corp. (b) 17,608 362 Cabot Oil & Gas Corp. 15,932 620 Chesapeake Energy Corp. 31,093 412 Chevron Corp. 34,839 456 Cimarex Energy Co. 23,762 433 ConocoPhillips 35,341 291 CONSOL Energy, Inc. 21,647 697 Denbury Resources, Inc. (b) 19,614 340 Devon Energy Corp. 32,263 423 Encore Acquisition Co. (b) 26,171 249 EOG Resources, Inc. 25,032 371 Exxon Mobil Corp. 29,840 324 Hess Corp. 32,854 417 Murphy Oil Corp. 33,247 292 Newfield Exploration Co. (b) 14,302 407 Noble Energy, Inc. 30,065 455 Occidental Petroleum Corp. 35,868 279 Peabody Energy Corp. 18,874 200 Penn Virginia Corp. 12,150 136 Petroleum Development Corp. (b) 7,522 560 PetroQuest Energy, Inc. (b) 11,687 406 Pioneer Natural Resources Co. 24,137 436 Plains Exploration & Production Co. (b) 24,403 658 Quicksilver Resources, Inc. (b) 17,213 499 Range Resources Corp. 24,231 859 Southwestern Energy Co. (b) 31,190 233 St. Mary Land & Exploration Co. 9,916 228 Swift Energy Co. (b) 11,587 597 XTO Energy, Inc. 28,196 ------------- 732,651 ------------- PERSONAL PRODUCTS--1.0% 484 Alberto-Culver Co. 12,986 454 Avon Products, Inc. 19,250 93 Chattem, Inc. (b) 5,996 704 Estee Lauder (The) Cos., Inc., Class A 31,045 397 NBTY, Inc. (b) 13,693 ------------- 82,970 ------------- PHARMACEUTICALS--2.1% 309 Abbott Laboratories 17,409 157 Allergan, Inc. 8,153 363 Barr Pharmaceuticals, Inc. (b) 23,951 263 Endo Pharmaceuticals Holdings, Inc. (b) 6,088 381 Johnson & Johnson 26,087 306 Medicis Pharmaceutical Corp., Class A 5,618 2,032 Mylan, Inc. (b) 26,354 275 Noven Pharmaceuticals, Inc. (b) 3,416 400 Perrigo Co. 14,092 417 Salix Pharmaceuticals, Ltd. (b) 3,328 415 Schering-Plough Corp. 8,748 467 Sciele Pharma, Inc. (b) 8,710 |
Page 90 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 511 Wyeth $ 20,706 ------------- 172,660 ------------- REAL ESTATE INVESTMENT TRUSTS--0.6% 588 Extra Space Storage, Inc. 8,332 191 Plum Creek Timber Co., Inc. 9,306 423 Potlatch Corp. 19,698 301 ProLogis 14,713 ------------- 52,049 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 852 CB Richard Ellis Group, Inc., Class A (b) 11,971 ------------- ROAD & RAIL--1.4% 327 Burlington Northern Santa Fe Corp. 34,051 197 Heartland Express, Inc. 3,357 573 J.B. Hunt Transport Services, Inc. 21,190 434 Kansas City Southern (b) 23,870 494 Knight Transportation, Inc. 9,346 218 Landstar System, Inc. 11,026 401 Old Dominion Freight Line, Inc. (b) 14,717 ------------- 117,557 ------------- SEMICONDUCTORS & SEMICONDUCTOR Equipment--1.4% 1,402 Advanced Micro Devices, Inc. (b) 5,902 395 Altera Corp. 8,670 105 ATMI, Inc. (b) 2,366 899 Broadcom Corp., Class A (b) 21,837 327 Diodes, Inc. (b) 8,492 3,149 Kopin Corp. (b) 10,171 251 Linear Technology Corp. 7,794 478 Microsemi Corp. (b) 12,409 609 Pericom Semiconductor Corp. (b) 8,684 176 Silicon Laboratories, Inc. (b) 5,757 1,221 Skyworks Solutions, Inc. (b) 11,551 260 Varian Semiconductor Equipment Associates, Inc. (b) 7,597 324 Xilinx, Inc. 8,045 ------------- 119,275 ------------- SOFTWARE--4.3% 933 Activision Blizzard Inc. (b) 33,569 623 Adobe Systems, Inc. (b) 25,761 320 ANSYS, Inc. (b) 14,682 137 Blackbaud, Inc. 2,447 681 BMC Software, Inc. (b) 22,398 354 CA, Inc. 8,446 278 Citrix Systems, Inc. (b) 7,406 1,714 Compuware Corp. (b) 18,854 363 Concur Technologies, Inc. (b) 14,963 107 FactSet Research Systems, Inc. 6,171 195 Informatica Corp. (b) 3,157 593 Intuit, Inc. (b) 16,207 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE (CONTINUED) 333 JDA Software Group, Inc. (b) $ 5,684 254 Manhattan Associates, Inc. (b) 6,233 187 McAfee, Inc. (b) 6,124 198 MICROS Systems, Inc. (b) 6,273 1,168 Oracle Corp. (b) 25,147 267 Phoenix Technologies Ltd. (b) 3,223 100 Quality Systems, Inc. 3,285 81 SPSS, Inc. (b) 2,677 865 Sybase, Inc. (b) 29,073 1,690 Symantec Corp. (b) 35,608 266 Synopsys, Inc. (b) 6,389 589 Take-Two Interactive Software, Inc. (b) 13,429 666 Tyler Technologies, Inc. (b) 10,643 2,336 Wind River Systems, Inc. (b) 27,401 ------------- 355,250 ------------- SPECIALTY RETAIL--3.2% 491 Advance Auto Parts, Inc. 20,175 812 Aeropostale, Inc. (b) 26,187 135 AutoZone, Inc. (b) 17,589 291 Bed Bath & Beyond, Inc. (b) 8,099 413 Best Buy Co., Inc. 16,404 334 Children's Place Retail Stores (The), Inc. (b) 12,709 450 Dress Barn (The), Inc. (b) 7,259 202 GameStop Corp., Class A (b) 8,183 170 Guess?, Inc. 5,384 376 Gymboree (The) Corp. (b) 14,062 428 Hibbett Sports, Inc. (b) 9,009 225 Jos. A. Bank Clothiers, Inc. (b) 5,040 716 Ross Stores, Inc. 27,179 1,377 Staples, Inc. 30,983 1,039 TJX (The) Cos., Inc. 35,024 612 Urban Outfitters, Inc. (b) 20,202 177 Zumiez, Inc. (b) 2,613 ------------- 266,101 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.4% 283 Coach, Inc. (b) 7,219 87 Deckers Outdoor Corp. (b) 9,832 101 Fossil, Inc. (b) 2,705 234 Hanesbrands, Inc. (b) 5,017 274 NIKE, Inc., Class B 16,078 391 Polo Ralph Lauren Corp. 23,136 920 Quiksilver, Inc. (b) 7,056 389 Timberland (The) Co., Class A (b) 5,578 378 Volcom, Inc. (b) 6,781 577 Warnaco Group (The), Inc. (b) 24,206 226 Wolverine World Wide, Inc. 6,041 ------------- 113,649 ------------- THRIFTS & MORTGAGE FINANCE--0.4% 1,961 Hudson City Bancorp, Inc. 35,808 ------------- TOBACCO--0.1% 150 UST, Inc. 7,892 ------------- |
See Notes to Financial Statements Page 91
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND
Portfolio of Investments (a) (Continued) July 31, 2008
SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS--0.7% 295 Fastenal Co. $ 14,414 432 MSC Industrial Direct Co., Inc., Class A 20,606 300 W.W. Grainger, Inc. 26,853 ------------- 61,873 ------------- WIRELESS TELECOMMUNICATION Services--0.2% 387 American Tower Corp., Class A (b) 16,215 ------------- TOTAL COMMON STOCKS--100.0% (Cost $7,750,972) 8,286,425 MONEY MARKET FUND--0.9% 73,187 Morgan Stanley Institutional Treasury Money Market Fund--1.95% (c) (Cost $73,187) 73,187 ------------- TOTAL INVESTMENTS--100.9% (Cost $7,824,159) (d) 8,359,612 NET OTHER ASSETS AND LIABILITIES--(0.9%) (71,954) ------------- NET ASSETS--100.0% $ 8,287,658 ============= |
(a) All percentages shown in the Portfolio of Investments are based on net assets.
(b) Non-income producing security.
(c) Represents annualized 7-day yield at July 31, 2008.
(d) Aggregate cost for federal income tax purposes is $7,824,733. As of July 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $782,206 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $247,327.
Page 92 See Notes to Financial Statements
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Assets and Liabilities
July 31, 2008
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ASSETS: Investments at value $ 3,631,535 $ 2,769,408 $ 8,410,549 Cash 8,904 -- 17,804 Restricted cash 7,849(a) -- -- Receivables: Capital shares sold -- -- -- Investment securities sold -- -- -- Dividends 1,515 2,815 1,735 Interest 154 95 30 Prepaid expenses 3,531 3,531 3,531 ------------ ------------ ------------ Total Assets 3,653,488 2,775,849 8,433,649 ------------ ------------ ------------ LIABILITIES: Due to custodian -- 104 -- Payables: Investment securities purchased 20,098 -- -- To investment advisor 34,308 29,835 28,831 Licensing fees 884 901 2,025 Accrued expenses and other liabilities 51,590 50,480 55,797 ------------ ------------ ------------ Total Liabilities 106,880 81,320 86,653 ------------ ------------ ------------ NET ASSETS $ 3,546,608 $ 2,694,529 $ 8,346,996 ============ ============ ============ NET ASSETS consist of: Paid-in capital $ 4,401,148 $ 3,136,599 $ 10,011,316 Par value 2,500 1,500 3,500 Accumulated net investment income (loss) 441 3,316 -- Accumulated net realized gain (loss) on investments (611,770) (422,860) (601,400) Net unrealized appreciation (depreciation) on investments (245,711) (24,026) (1,066,420) ------------ ------------ ------------ NET ASSETS $ 3,546,608 $ 2,694,529 $ 8,346,996 ============ ============ ============ NET ASSET VALUE, per share $ 14.19 $ 17.96 $ 23.85 ============ ============ ============ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) 250,002 150,002 350,002 ------------ ------------ ------------ Investments at cost $ 3,877,246 $ 2,793,434 $ 9,476,969 ============ ============ ============ (a) Cash restricted for in-kind trade that did not settle until August 1, 2008. |
Page 94 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,938,951 $ 8,601,491 $ 4,461,304 $ 5,550,761 $ 8,980,158 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 2,715 952 1,188 2,250 2,780 124 98 109 117 146 3,531 3,531 3,531 3,531 3,531 ------------ ------------ ------------ ------------ ------------ 1,945,321 8,606,072 4,466,132 5,556,659 8,986,615 ------------ ------------ ------------ ------------ ------------ 20 192 167 114 162 -- -- -- -- -- 31,761 28,148 27,828 29,390 28,217 645 1,795 1,528 1,238 1,599 51,410 55,369 52,121 51,936 53,011 ------------ ------------ ------------ ------------ ------------ 83,836 85,504 81,644 82,678 82,989 ------------ ------------ ------------ ------------ ------------ $ 1,861,485 $ 8,520,568 $ 4,384,488 $ 5,473,981 $ 8,903,626 ============ ============ ============ ============ ============ $ 2,708,082 $ 8,709,382 $ 5,103,528 $ 5,582,595 $ 9,808,425 1,500 4,500 2,500 2,500 5,050 1,126 -- 1,695 1,209 -- (585,004) (545,837) (698,042) (368,364) (557,159) (264,219) 352,523 (25,193) 256,041 (352,690) ------------ ------------ ------------ ------------ ------------ $ 1,861,485 $ 8,520,568 $ 4,384,488 $ 5,473,981 $ 8,903,626 ============ ============ ============ ============ ============ $ 12.41 $ 18.93 $ 17.54 $ 21.90 $ 17.63 ============ ============ ============ ============ ============ 150,002 450,002 250,002 250,002 505,000 ------------ ------------ ------------ ------------ ------------ $ 2,203,170 $ 8,248,968 $ 4,486,497 $ 5,294,720 $ 9,332,848 ============ ============ ============ ============ ============ |
See Notes to Financial Statements Page 95
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Assets and Liabilities (Continued) July 31, 2008
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ASSETS: Investments at value $ 5,731,643 $ 14,851,525 $ 10,593,513 Cash -- 13,239 -- Restricted cash -- -- -- Receivables: Capital shares sold -- -- -- Investment securities sold -- -- -- Dividends 15,308 12,745 8,396 Interest 132 96 138 Prepaid expenses 3,531 3,531 3,531 ------------ ------------ ------------ Total Assets 5,750,614 14,881,136 10,605,578 ------------ ------------ ------------ LIABILITIES: Due to custodian 174 -- 339 Payables: Investment securities purchased -- -- -- To investment advisor 29,451 17,140 23,292 Licensing fees 1,507 1,244 875 Accrued expenses and other liabilities 52,852 63,723 59,811 ------------ ------------ ------------ Total Liabilities 83,984 82,107 84,317 ------------ ------------ ------------ NET ASSETS $ 5,666,630 $ 14,799,029 $ 10,521,261 ============ ============ ============ NET ASSETS consist of: Paid-in capital $ 6,114,670 $ 16,723,827 $ 11,857,077 Par value 3,500 6,000 4,000 Accumulated net investment income (loss) 21,646 9,660 3,143 Accumulated net realized gain (loss) on investments (279,679) (1,331,030) (1,176,980) Net unrealized appreciation (depreciation) on investments (193,507) (609,428) (165,979) ------------ ------------ ------------ NET ASSETS $ 5,666,630 $ 14,799,029 $ 10,521,261 ============ ============ ============ NET ASSET VALUE, per share $ 16.19 $ 24.66 $ 26.30 ============ ============ ============ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) 350,002 600,002 400,002 ------------ ------------ ------------ Investments at cost $ 5,925,150 $ 15,460,953 $ 10,759,492 ============ ============ ============ |
Page 96 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ---------------- ---------------- $ 9,993,700 $ 23,186,233 $ 37,267,602 $ 4,709,053 $ 8,359,612 -- 38,690 -- 3,881 -- -- -- -- -- -- 2,498,357 -- -- -- -- 27,729 -- -- -- 11,778 4,109 21,995 24,143 4,858 3,835 128 60 84 117 115 3,531 3,531 3,531 3,531 3,531 ------------ ------------ ------------ ------------ ------------ 12,527,554 23,250,509 37,295,360 4,721,440 8,378,871 ------------ ------------ ------------ ------------ ------------ 138 -- 1,417 -- 187 2,524,846 -- -- -- 13,722 27,745 19,345 5,968 22,271 21,884 609 1,826 3,003 380 701 58,411 65,916 81,022 52,153 54,719 ------------ ------------ ------------ ------------ ------------ 2,611,749 87,087 91,410 74,804 91,213 ------------ ------------ ------------ ------------ ------------ $ 9,915,805 $ 23,163,422 $ 37,203,950 $ 4,646,636 $ 8,287,658 ============ ============ ============ ============ ============ $ 11,454,294 $ 25,800,576 $ 40,147,781 $ 6,368,763 $ 9,256,500 4,000 10,000 14,000 2,000 3,000 535 22,054 2,734 3,744 -- (1,334,736) (1,152,046) (3,563,630) (909,680) (1,507,295) (208,288) (1,517,162) 603,065 (818,191) 535,453 ------------ ------------ ------------ ------------ ------------ $ 9,915,805 $ 23,163,422 $ 37,203,950 $ 4,646,636 $ 8,287,658 ============ ============ ============ ============ ============ $ 24.79 $ 23.16 $ 26.57 $ 23.23 $ 27.63 ============ ============ ============ ============ ============ 400,002 1,000,002 1,400,002 200,002 300,002 ------------ ------------ ------------ ------------ ------------ $ 10,201,988 $ 24,703,395 $ 36,664,537 $ 5,527,244 $ 7,824,159 ============ ============ ============ ============ ============ |
See Notes to Financial Statements Page 97
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Operations
For the Year Eneded July 31, 2008
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends (a) $ 24,901 $ 49,544 $ 63,399 Interest 1,199 855 873 ------------ ------------ ------------ Total investment income 26,100 50,399 64,272 ------------ ------------ ------------ EXPENSES: Audit and tax fees 29,607 29,607 29,607 Listing fees 12,021 12,021 12,021 Investment advisory fees 10,191 13,971 27,241 Accounting and administration fees 6,210 3,811 5,657 Custodian fees 2,835 1,862 2,231 Trustees' fees and expenses 2,237 2,237 3,754 Licensing fees 2,038 2,794 5,448 Legal fees 1,610 1,917 5,530 Printing fees 1,477 2,352 4,391 Transfer agent fees 102 140 272 Registration and filing fees 92 92 92 Other expenses 62 298 1,238 ------------ ------------ ------------ Total expenses 68,482 71,102 97,482 Less fees waived and expenses reimbursed by the investment advisor (54,215) (51,542) (59,344) ------------ ------------ ------------ Net expenses 14,267 19,560 38,138 ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 11,833 30,839 26,134 ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments (609,465) (419,792) (601,413) In-kind redemptions 57,379 115,509 1,166,523 ------------ ------------ ------------ Net realized gain (loss) (552,086) (304,283) 565,110 Net change in unrealized appreciation (depreciation) on investments (130,768) 134,562 (813,167) ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) (682,854) (169,721) (248,057) ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (671,021) $ (138,882) $ (221,923) ============ ============ ============ (a) Net of foreign withholding tax of $45 for the First Trust Financials AlphaDEX(R) Fund. |
Page 98 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ---------------- ---------------- $ 47,647 $ 15,107 $ 44,452 $ 47,343 $ 16,888 1,230 855 867 867 929 ------------ ------------ ------------ ------------ ------------ 48,877 15,962 45,319 48,210 17,817 ------------ ------------ ------------ ------------ ------------ 29,607 29,607 29,607 29,607 29,607 12,021 12,021 12,021 12,021 12,021 8,632 21,988 22,964 16,624 21,518 6,963 5,440 5,308 4,956 5,460 3,056 2,310 2,065 2,092 2,403 2,237 3,228 3,064 2,237 3,294 1,726 4,398 4,593 3,325 4,304 1,073 3,676 2,647 3,093 3,197 1,368 3,205 3,810 2,647 3,448 86 220 229 166 215 92 138 92 92 142 152 2,814 844 291 716 ------------ ------------ ------------ ------------ ------------ 67,013 89,045 87,244 77,151 86,325 (54,929) (58,261) (55,095) (53,878) (56,200) ------------ ------------ ------------ ------------ ------------ 12,084 30,784 32,149 23,273 30,125 ------------ ------------ ------------ ------------ ------------ 36,793 (14,822) 13,170 24,937 (12,308) ------------ ------------ ------------ ------------ ------------ (581,855) (525,699) (664,083) (372,294) (543,992) 23,471 189,104 87,563 414,724 105,046 ------------ ------------ ------------ ------------ ------------ (558,384) (336,595) (576,520) 42,430 (438,946) (51,731) 377,596 240,994 310,083 (356,682) ------------ ------------ ------------ ------------ ------------ (610,115) 41,001 (335,526) 352,513 (795,628) ------------ ------------ ------------ ------------ ------------ $ (573,322) $ 26,179 $ (322,356) $ 377,450 $ (807,936) ============ ============ ============ ============ ============ |
See Notes to Financial Statements Page 99
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Operations (Continued)
For the Year Eneded July 31, 2008
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends (a) $ 108,993 $ 192,576 $ 92,167 Interest 883 959 1,112 ------------ ------------ ------------ Total investment income 109,876 193,535 93,279 ------------ ------------ ------------ EXPENSES: Audit and tax fees 29,607 29,607 29,607 Listing fees 12,021 12,021 12,021 Investment advisory fees 15,058 51,947 37,640 Accounting and administration fees 4,188 10,650 10,269 Custodian fees 2,586 7,326 5,899 Trustees' fees and expenses 2,725 8,116 5,921 Licensing fees 3,012 10,389 7,528 Legal fees 3,279 8,241 5,936 Printing fees 2,274 6,345 4,201 Transfer agent fees 151 519 376 Registration and filing fees 126 330 181 Other expenses 131 2,131 1,631 ------------ ------------ ------------ Total expenses 75,158 147,622 121,210 Less fees waived and expenses reimbursed by the investment advisor (54,076) (74,897) (68,514) ------------ ------------ ------------ Net expenses 21,082 72,725 52,696 ------------ ------------ ------------ NET INVESTMENT INCOME (LOSS) 88,794 120,810 40,583 ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain(loss) on: Investments (281,398) (1,315,928) (1,164,794) In-kind redemptions 91,033 60,530 169,633 ------------ ------------ ------------ Net realized gain (loss) (190,365) (1,255,398) (995,161) Net change in unrealized appreciation (depreciation) on investments 43,051 (364,632) 288,552 ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) (147,314) (1,620,030) (706,609) ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (58,520) $ (1,499,220) $ (666,026) ============ ============ ============ (a) Net of foreign withholding tax of $37 for the First Trust Small Cap Core AlphaDEX(R) Fund and $15 for the First Trust Multi Cap Value AlphaDEX(R) Fund. |
Page 100 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ---------------- ---------------- ---------------- ---------------- ---------------- $ 58,810 $ 273,537 $ 217,600 $ 130,758 $ 59,848 1,046 948 975 910 1,137 ------------ ------------ ------------ ------------ ------------ 59,856 274,485 218,575 131,668 60,985 ------------ ------------ ------------ ------------ ------------ 29,607 29,607 29,607 29,607 29,607 12,021 12,021 12,021 12,021 12,021 31,494 54,890 96,622 30,682 37,136 16,450 7,882 12,920 8,601 8,172 7,933 5,026 6,133 4,841 5,018 4,351 8,403 16,614 3,871 5,175 6,299 10,978 19,324 6,136 7,427 4,129 11,917 19,918 2,790 4,925 3,688 4,957 8,627 4,230 4,537 315 549 966 307 371 127 181 337 92 92 1,228 1,645 2,584 1,337 710 ------------ ------------ ------------ ------------ ------------ 117,642 148,056 225,673 104,515 115,191 (73,550) (71,210) (90,402) (61,560) (63,201) ------------ ------------ ------------ ------------ ------------ 44,092 76,846 135,271 42,955 51,990 ------------ ------------ ------------ ------------ ------------ 15,764 197,639 83,304 88,713 8,995 ------------ ------------ ------------ ------------ ------------ (1,456,691) (1,147,428) (3,563,630) (901,349) (1,480,733) 189,167 72,603 134,971 333,587 53,742 ------------ ------------ ------------ ------------ ------------ (1,267,524) (1,074,825) (3,428,659) (567,762) (1,426,991) 327,549 (985,648) 835,410 (483,942) 1,099,912 ------------ ------------ ------------ ------------ ------------ (939,975) (2,060,473) (2,593,249) (1,051,704) (327,079) ------------ ------------ ------------ ------------ ------------ $ (924,211) $ (1,862,834) $ (2,509,945) $ (962,991) $ (318,084) ============ ============ ============ ============ ============ |
See Notes to Financial Statements Page 101
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Changes in Net Assets
First Trust Consumer Discretionary AlphaDEX(R) Fund ------------------------------------------ For the Period For the Year May 8, 2007 (a) Ended through July 31, 2008 July 31, 2007 ------------------- --------------------- OPERATIONS: Net investment income (loss) $ 11,833 $ 188 Net realized gain (loss) (552,086) (2,459) Net change in unrealized appreciation (depreciation) (130,768) (114,943) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations (671,021) (117,214) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (11,580) -- Net realized gain -- -- ---------------- ---------------- Total distributions to shareholders (11,580) -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 3,300,300 2,000,040 Value of shares repurchased (953,917) -- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 2,346,383 2,000,040 ---------------- ---------------- Total increase (decrease) in net assets 1,663,782 1,882,826 NET ASSETS: Beginning of Period 1,882,826 -- ---------------- ---------------- End of Period $ 3,546,608 $ 1,882,826 ================ ================ Accumulated net investment income (loss) at end of period $ 441 $ 188 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 100,002 -- Shares sold 200,000 100,002 Shares repurchased (50,000) -- ---------------- ---------------- Shares outstanding, end of period 250,002 100,002 ================ ================ (a) Inception date. |
Page 102 See Notes to Financial Statements
First Trust First Trust First Trust Consumer Staples Energy Financials AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------------------------------- ------------------------------------------ ----------------------------------------- For the Period For the Period For the Period For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) Ended through Ended through Ended through July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 ------------------- --------------------- ------------------ --------------------- ------------------ -------------------- $ 30,839 $ 5,552 $ 26,134 $ (174) $ 36,793 $ 6,584 (304,283) 17,598 565,110 91,222 (558,384) (3,175) 134,562 (158,588) (813,167) (253,253) (51,731) (212,488) ------------- ------------- ------------- ------------- ------------- ------------- (138,882) (135,438) (221,923) (162,205) (573,322) (209,079) ------------- ------------- ------------- ------------- ------------- ------------- (33,075) -- (30,458) -- (42,251) -- -- -- (892) -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- (33,075) -- (31,350) -- (42,251) -- ------------- ------------- ------------- ------------- ------------- ------------- 1,985,991 4,005,824 14,269,178 6,438,163 1,612,374 2,000,040 (1,985,991) (1,003,900) (10,853,396) (1,091,471) (926,277) -- ------------- ------------- ------------- ------------- ------------- ------------- -- 3,001,924 3,415,782 5,346,692 686,097 2,000,040 ------------- ------------- ------------- ------------- ------------- ------------- (171,957) 2,866,486 3,162,509 5,184,487 70,524 1,790,961 2,866,486 -- 5,184,487 -- 1,790,961 -- ------------- ------------- ------------- ------------- ------------- ------------- $ 2,694,529 $ 2,866,486 $ 8,346,996 $ 5,184,487 $ 1,861,485 $ 1,790,961 ============= ============= ============= ============= ============= ============= $ 3,316 $ 5,552 $ -- $ -- $ 1,126 $ 6,584 ============= ============= ============= ============= ============= ============= 150,002 -- 250,002 -- 100,002 -- 100,000 200,002 550,000 300,002 100,000 100,002 (100,000) (50,000) (450,000) (50,000) (50,000) -- ------------- ------------- ------------- ------------- ------------- ------------- 150,002 150,002 350,002 250,002 150,002 100,002 ============= ============= ============= ============= ============= ============= |
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Changes in Net Assets (Continued)
First Trust Health Care AlphaDEX(R) Fund ------------------------------------------ For the Period For the Year May 8, 2007 (a) Ended through July 31, 2008 July 31, 2007 ------------------- --------------------- OPERATIONS: Net investment income (loss) $ (14,822) $ (1,425) Net realized gain (loss) (336,595) (25,010) Net change in unrealized appreciation (depreciation) 377,596 (25,073) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations 26,179 (51,508) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income -- -- Net realized gain -- -- ---------------- ---------------- Total distributions to shareholders -- -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 8,610,569 2,000,040 Value of shares repurchased (2,064,712) -- ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 6,545,857 2,000,040 ---------------- ---------------- Total increase (decrease) in net assets 6,572,036 1,948,532 NET ASSETS: Beginning of Period 1,948,532 -- ---------------- ---------------- End of Period $ 8,520,568 $ 1,948,532 ================ ================ Accumulated net investment income (loss) at end of period $ -- $ -- ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 100,002 -- Shares sold 450,000 100,002 Shares repurchased (100,000) -- ---------------- ---------------- Shares outstanding, end of period 450,002 100,002 ================ ================ (a) Inception date. |
Page 104 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------------------------------- ------------------------------------------ ----------------------------------------- For the Period For the Period For the Period For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) Ended through Ended through Ended through July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 ------------------- --------------------- ------------------ --------------------- ------------------ -------------------- $ 13,170 $ (742) $ 24,937 $ 2,537 $ (12,308) $ (2,303) (576,520) (34,546) 42,430 54,276 (438,946) 47,247 240,994 (266,187) 310,083 (54,042) (356,682) 3,992 ------------- ------------- ------------- ------------- ------------- ------------- (322,356) (301,475) 377,450 2,771 (807,936) 48,936 ------------- ------------- ------------- ------------- ------------- ------------- (11,475) -- (26,265) -- -- -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- (11,475) -- (26,265) -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- 1,933,032 5,019,794 5,269,020 4,071,138 8,660,675 3,148,212 (1,933,032) -- (3,171,331) (1,048,802) (1,098,049) (1,048,212) ------------- ------------- ------------- ------------- ------------- ------------- -- 5,019,794 2,097,689 3,022,336 7,562,626 2,100,000 ------------- ------------- ------------- ------------- ------------- ------------- (333,831) 4,718,319 2,448,874 3,025,107 6,754,690 2,148,936 4,718,319 -- 3,025,107 -- 2,148,936 -- ------------- ------------- ------------- ------------- ------------- ------------- $ 4,384,488 $ 4,718,319 $ 5,473,981 $ 3,025,107 $ 8,903,626 $ 2,148,936 ============= ============= ============= ============= ============= ============= $ 1,695 $ -- $ 1,209 $ 2,537 $ -- $ -- ============= ============= ============= ============= ============= ============= 250,002 -- 150,002 -- 105,000 -- 100,000 250,002 250,000 200,002 450,000 155,000 (100,000) -- (150,000) (50,000) (50,000) (50,000) ------------- ------------- ------------- ------------- ------------- ------------- 250,002 250,002 250,002 150,002 505,000 105,000 ============= ============= ============= ============= ============= ============= |
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Changes in Net Assets (Continued)
First Trust Utilities AlphaDEX(R) Fund ------------------------------------------ For the Period For the Year May 8, 2007 (a) Ended through July 31, 2008 July 31, 2007 ------------------- --------------------- OPERATIONS: Net investment income (loss) $ 88,794 $ 11,354 Net realized gain (loss) (190,365) 31,163 Net change in unrealized appreciation (depreciation) 43,051 (236,558) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations (58,520) (194,041) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (78,502) -- Net realized gain -- -- ---------------- ---------------- Total distributions to shareholders (78,502) -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 6,783,781 3,917,512 Value of shares repurchased (3,736,342) (967,258) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 3,047,439 2,950,254 ---------------- ---------------- Total increase (decrease) in net assets 2,910,417 2,756,213 NET ASSETS: Beginning of Period 2,756,213 -- ---------------- ---------------- End of Period $ 5,666,630 $ 2,756,213 ================ ================ Accumulated net investment income (loss) at end of period $ 21,646 $ 11,354 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 150,002 -- Shares sold 400,000 200,002 Shares repurchased (200,000) (50,000) ---------------- ---------------- Shares outstanding, end of period 350,002 150,002 ================ ================ (a) Inception date. |
Page 106 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Core Mid Cap Core Small Cap Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------------------------------- ------------------------------------------ ----------------------------------------- For the Period For the Period For the Period For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) Ended through Ended through Ended through July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 ------------------- --------------------- ------------------ --------------------- ------------------ -------------------- $ 120,810 $ 4,291 $ 40,583 $ 1,760 $ 15,764 $ 3,211 (1,255,398) 108,804 (995,161) 149,817 (1,267,524) 143,005 (364,632) (244,796) 288,552 (454,531) 327,549 (535,837) ------------- ------------- ------------- ------------- ------------- ------------- (1,499,220) (131,701) (666,026) (302,954) (924,211) (389,621) ------------- ------------- ------------- ------------- ------------- ------------- (115,441) -- (39,200) -- (18,440) -- -- -- -- -- -- -- ------------- ------------- ------------- ------------- ------------- ------------- (115,441) -- (39,200) -- (18,440) -- ------------- ------------- ------------- ------------- ------------- ------------- 16,563,871 6,064,190 8,542,062 9,115,197 10,645,981 9,134,960 (3,018,540) (3,064,130) (3,031,020) (3,096,798) (5,447,956) (3,084,908) ------------- ------------- ------------- ------------- ------------- ------------- 13,545,331 3,000,060 5,511,042 6,018,399 5,198,025 6,050,052 ------------- ------------- ------------- ------------- ------------- ------------- 11,930,670 2,868,359 4,805,816 5,715,445 4,255,374 5,660,431 2,868,359 -- 5,715,445 -- 5,660,431 -- ------------- ------------- ------------- ------------- ------------- ------------- $ 14,799,029 $ 2,868,359 $ 10,521,261 $ 5,715,445 $ 9,915,805 $ 5,660,431 ============= ============= ============= ============= ============= ============= $ 9,660 $ 4,291 $ 3,143 $ 1,760 $ 535 $ 3,211 ============= ============= ============= ============= ============= ============= 100,002 -- 200,002 -- 200,002 -- 600,000 200,002 300,000 300,002 400,000 300,002 (100,000) (100,000) (100,000) (100,000) (200,000) (100,000) ------------- ------------- ------------- ------------- ------------- ------------- 600,002 100,002 400,002 200,002 400,002 200,002 ============= ============= ============= ============= ============= ============= |
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Statements of Changes in Net Assets (Continued)
First Trust Large Cap Value Opportunities AlphaDEX(R) Fund ------------------------------------------ For the Period For the Year May 8, 2007 (a) Ended through July 31, 2008 July 31, 2007 ------------------- --------------------- OPERATIONS: Net investment income (loss) $ 197,639 $ 7,676 Net realized gain (loss) (1,074,825) 123,586 Net change in unrealized appreciation (depreciation) (985,648) (531,514) ---------------- ---------------- Net increase (decrease) in net assets resulting from operations (1,862,834) (400,252) ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (183,261) -- Net realized gain -- -- Return of capital -- -- ---------------- ---------------- Total distributions to shareholders (183,261) -- ---------------- ---------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold 22,463,648 9,133,000 Value of shares repurchased (2,923,373) (3,063,506) ---------------- ---------------- Net increase (decrease) in net assets resulting from shareholder transactions 19,540,275 6,069,494 ---------------- ---------------- Total increase (decrease) in net assets 17,494,180 5,669,242 NET ASSETS: Beginning of Period 5,669,242 -- ---------------- ---------------- End of Period $ 23,163,422 $ 5,669,242 ================ ================ Accumulated net investment income (loss) at end of period $ 22,054 $ 7,676 ================ ================ CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period 200,002 -- Shares sold 900,000 300,002 Shares repurchased (100,000) (100,000) ---------------- ---------------- Shares outstanding, end of period 1,000,002 200,002 ================ ================ (a) Inception date. |
Page 108 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Growth Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ------------------------------------------- ------------------------------------------ ----------------------------------------- For the Period For the Period For the Period For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) For the Year May 8, 2007 (a) Ended through Ended through Ended through July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 July 31, 2008 July 31, 2007 ------------------- --------------------- ------------------ --------------------- ------------------ -------------------- $ 83,304 $ (688) $ 88,713 $ 6,372 $ 8,995 $ (2,017) ------------- ------------- ------------- ------------- ------------- ------------- (3,428,659) 84,544 (567,762) 123,208 (1,426,991) 119,915 835,410 (232,345) (483,942) (334,249) 1,099,912 (564,459) ------------- ------------- ------------- ------------- ------------- ------------- (2,509,945) (148,489) (962,991) (204,669) (318,084) (446,561) ------------- ------------- ------------- ------------- ------------- ------------- (80,570) -- (91,341) -- (8,995) -- -- -- -- -- -- -- -- -- -- -- (1,395) -- ------------- ------------- ------------- ------------- ------------- ------------- (80,570) -- (91,341) -- (10,390) -- ------------- ------------- ------------- ------------- ------------- ------------- 37,101,159 9,069,027 10,762,282 6,057,410 5,943,787 12,375,183 (3,151,252) (3,075,980) (7,856,705) (3,057,350) (6,145,757) (3,110,520) ------------- ------------- ------------- ------------- ------------- ------------- 33,949,907 5,993,047 2,905,577 3,000,060 (201,970) 9,264,663 ------------- ------------- ------------- ------------- ------------- ------------- 31,359,392 5,844,558 1,851,245 2,795,391 (530,444) 8,818,102 5,844,558 -- 2,795,391 -- 8,818,102 -- ------------- ------------- ------------- ------------- ------------- ------------- $ 37,203,950 $ 5,844,558 $ 4,646,636 $ 2,795,391 $ 8,287,658 $ 8,818,102 ============= ============= ============= ============= ============= ============= $ 2,734 $ -- $ 3,744 $ 6,372 $ -- $ -- ============= ============= ============= ============= ============= ============= 200,002 -- 100,002 -- 300,002 -- 1,300,000 300,002 400,000 200,002 200,000 400,002 (100,000) (100,000) (300,000) (100,000) (200,000) (100,000) ------------- ------------- ------------- ------------- ------------- ------------- 1,400,002 200,002 200,002 100,002 300,002 300,002 ============= ============= ============= ============= ============= ============= |
See Notes to Financial Statements Page 109
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
Trust Consumer Discretionary AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 18.83 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.08 0.00(b)(f) Net realized and unrealized gain (loss) (4.64) (1.17) ------------- ------------- Total from investment operations (4.56) (1.17) Distributions paid to shareholders from: Net investment income (0.08) -- ------------- ------------- Net asset value, end of period $ 14.19 $ 18.83 ============= ============= TOTAL RETURN (c) (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,547 $ 1,883 Ratios to average net assets: Ratio of total expenses to average net assets 3.36% 11.39%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 0.58% 0.04%(d) Portfolio turnover rate (e) 91% 34% First Trust Consumer Staples AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 19.11 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.21 0.04(b) Net realized and unrealized gain (loss) (1.14) (0.93) ------------- ------------- Total from investment operations (0.93) (0.89) Distributions paid to shareholders from: Net investment income (0.22) -- ------------- ------------- Net asset value, end of period $ 17.96 $ 19.11 ============= ============= TOTAL RETURN (c) (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,695 $ 2,866 Ratios to average net assets: Ratio of total expenses to average net assets 2.55% 9.34%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 1.10% 0.98%(d) Portfolio turnover rate (e) 96% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. |
Page 110 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Energy AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 20.74 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.12 (0.00)(b)(f) Net realized and unrealized gain (loss) 3.12 0.74 ------------- ------------- Total from investment operations 3.24 0.74 ------------- ------------- Distributions paid to shareholders from: Net investment income (0.13) -- Net realized gain (0.00)(f) -- ------------- ------------- Total distributions (0.13) -- ------------- ------------- Net asset value, end of period $ 23.85 $ 20.74 ============= ============= TOTAL RETURN (c) 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,347 $ 5,184 Ratios to average net assets: Ratio of total expenses to average net assets 1.80% 9.49%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.48% (0.03)%(d) Portfolio turnover rate (e) 67% 1% First Trust Financials AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 17.91 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.29 0.07(b) Net realized and unrealized gain (loss) (5.44) (2.16) ------------- ------------- Total from investment operations (5.15) (2.09) Distributions paid to shareholders from: Net investment income (0.35) -- ------------- ------------- Net asset value, end of period $ 12.41 $ 17.91 ============= ============= TOTAL RETURN (c) (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,861 $ 1,791 Ratios to average net assets: Ratio of total expenses to average net assets 3.89% 11.58%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 2.13% 1.46%(d) Portfolio turnover rate (e) 74% 26% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. |
See Notes to Financial Statements Page 111
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Health Care AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 19.48 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) (0.03) (0.01)(b) Net realized and unrealized gain (loss) (0.52) (0.51) ------------- ------------- Total from investment operations (0.55) (0.52) ------------- ------------- Net asset value, end of period $ 18.93 $ 19.48 ============= ============= TOTAL RETURN (c) (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,521 $ 1,949 Ratios to average net assets: Ratio of total expenses to average net assets 2.03% 11.48%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets (0.34)% (0.31)%(d) Portfolio turnover rate (e) 89% 30% First Trust Industrials/Producer Durables AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 18.87 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.05 (0.00)(b)(f) Net realized and unrealized gain (loss) (1.33) (1.13) ------------- ------------- Total from investment operations (1.28) (1.13) Distributions paid to shareholders from: Net investment income (0.05) -- ------------- ------------- Net asset value, end of period $ 17.54 $ 18.87 ============= ============= TOTAL RETURN (c) (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,384 $ 4,718 Ratios to average net assets: Ratio of total expenses to average net assets 1.90% 10.09%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.29% (0.14)%(d) Portfolio turnover rate (e) 81% 24% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. |
Page 112 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Materials AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 20.17 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.16 0.02(b) Net realized and unrealized gain (loss) 1.75 0.15 ------------- ------------- Total from investment operations 1.91 0.17 Distributions paid to shareholders from: Net investment income (0.18) -- ------------- ------------- Net asset value, end of period $ 21.90 $ 20.17 ============= ============= TOTAL RETURN (c) 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,474 $ 3,025 Ratios to average net assets: Ratio of total expenses to average net assets 2.33% 9.56%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 0.75% 0.46%(d) Portfolio turnover rate (e) 59% 1% First Trust Technology AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 20.47 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) (0.02) (0.02)(b) Net realized and unrealized gain (loss) (2.82) 0.49 ------------- ------------- Total from investment operations (2.84) 0.47 ------------- ------------- Net asset value, end of period $ 17.63 $ 20.47 ============= ============= TOTAL RETURN (c) (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,904 $ 2,149 Ratios to average net assets: Ratio of total expenses to average net assets 2.01% 10.64%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets (0.29)% (0.47)%(d) Portfolio turnover rate (e) 89% 6% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements Page 113
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Utilities AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 18.37 $ 20.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.90 0.09(b) Net realized and unrealized gain (loss) (2.17) (1.72) ------------- ------------- Total from investment operations (1.27) (1.63) Distributions paid to shareholders from: Net investment income (0.91) -- ------------- ------------- Net asset value, end of period $ 16.19 $ 18.37 ============= ============= TOTAL RETURN (c) (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,667 $ 2,756 Ratios to average net assets: Ratio of total expenses to average net assets 2.50% 10.12%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 2.96% 2.18%(d) Portfolio turnover rate (e) 68% 1% First Trust Large Cap Core AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 28.68 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.25 0.04(b) Net realized and unrealized gain (loss) (4.00) (1.36) ------------- ------------- Total from investment operations (3.75) (1.32) Distributions paid to shareholders from: Net investment income (0.27) -- ------------- ------------- Net asset value, end of period $ 24.66 $ 28.68 ============= ============= TOTAL RETURN (c) (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 14,799 $ 2,868 Ratios to average net assets: Ratio of total expenses to average net assets 1.42% 7.86%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 1.16% 0.62%(d) Portfolio turnover rate (e) 90% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Page 114 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Mid Cap Core AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 28.58 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.14 0.01(b) Net realized and unrealized gain (loss) (2.28) (1.43) ------------- ------------- Total from investment operations (2.14) (1.42) Distributions paid to shareholders from: Net investment income (0.14) -- ------------- ------------- Net asset value, end of period $ 26.30 $ 28.58 ============= ============= TOTAL RETURN (c) (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,521 $ 5,715 Ratios to average net assets: Ratio of total expenses to average net assets 1.61% 5.98%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 0.54% 0.19%(d) Portfolio turnover rate (e) 82% 1% First Trust Small Cap Core AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 28.30 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.06 0.02(b) Net realized and unrealized gain (loss) (3.50) (1.72) ------------- ------------- Total from investment operations (3.44) (1.70) Distributions paid to shareholders from: Net investment income (0.07) -- ------------- ------------- Net asset value, end of period $ 24.79 $ 28.30 ============= ============= TOTAL RETURN (c) (12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,916 $ 5,660 Ratios to average net assets: Ratio of total expenses to average net assets 1.87% 7.25%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 0.25% 0.42%(d) Portfolio turnover rate (e) 95% 2% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements Page 115
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Large Cap Value Opportunities AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 28.35 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.43 0.06(b) Net realized and unrealized gain (loss) (5.18) (1.71) ------------- ------------- Total from investment operations (4.75) (1.65) Distributions paid to shareholders from: Net investment income (0.44) -- ------------- ------------- Net asset value, end of period $ 23.16 $ 28.35 ============= ============= TOTAL RETURN (c) (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 23,163 $ 5,669 Ratios to average net assets: Ratio of total expenses to average net assets 1.35% 6.95%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 1.80% 0.97%(d) Portfolio turnover rate (e) 104% 1% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 29.22 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.15 (0.00)(b)(f) Net realized and unrealized gain (loss) (2.65) (0.78) ------------- ------------- Total from investment operations (2.50) (0.78) Distributions paid to shareholders from: Net investment income (0.15) -- ------------- ------------- Net asset value, end of period $ 26.57 $ 29.22 ============= ============= TOTAL RETURN (c) (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 37,204 $ 5,845 Ratios to average net assets: Ratio of total expenses to average net assets 1.17% 5.98%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.43% (0.07)%(d) Portfolio turnover rate (e) 134% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share. |
Page 116 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Financial Highlights
For a share outstanding throughout each period
First Trust Multi Cap Value AlphaDEX(R) Fund
For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 27.95 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.35 0.06(b) Net realized and unrealized gain (loss) (4.68) (2.11) ------------- ------------- Total from investment operations (4.33) (2.05) Distributions paid to shareholders from: Net investment income (0.39) -- ------------- ------------- Net asset value, end of period $ 23.23 $ 27.95 ============= ============= TOTAL RETURN (c) (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,647 $ 2,795 Ratios to average net assets: Ratio of total expenses to average net assets 1.70% 7.91%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income to average net assets 1.45% 0.93%(d) Portfolio turnover rate (e) 59% 2% First Trust Multi Cap Growth AlphaDEX(R) Fund For the Period For the May 8, 2007 (a) Year Ended through July 31, 2008 July 31, 2007 ----------------- ----------------- Net asset value, beginning of period $ 29.39 $ 30.00 ------------- ------------- Income from investment operations: Net investment income (loss) 0.05 (0.01)(b) Net realized and unrealized gain (loss) (1.76) (0.60) ------------- ------------- Total from investment operations (1.71) (0.61) ------------- ------------- Distributions paid to shareholders from: Net investment income (0.04) -- Return of capital (0.01) -- ------------- ------------- Total distributions (0.05) -- ------------- ------------- Net asset value, end of period $ 27.63 $ 29.39 ============= ============= TOTAL RETURN (c) (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,288 $ 8,818 Ratios to average net assets: Ratio of total expenses to average net assets 1.55% 6.01%(d) Ratio of net expenses to average net assets 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.12% (0.21)%(d) Portfolio turnover rate (e) 110% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover rate is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements Page 117
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
1. Organization
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of sixteen funds:
First Trust Consumer Discretionary AlphaDEX(R) Fund - (AMEX ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (AMEX ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (AMEX ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (AMEX ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (AMEX ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund -
(AMEX ticker "FXR")
First Trust Materials AlphaDEX(R) Fund - (AMEX ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (AMEX ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (AMEX ticker "FXU") First Trust Large Cap Core AlphaDEX(R) Fund - (AMEX ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (AMEX ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (AMEX ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(R) Fund -
(AMEX ticker "FTA")
First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -
(AMEX ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (AMEX ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (AMEX ticker "FAD")
Each fund represents a separate series of beneficial interest in the Trust (individually, each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the American Stock Exchange LLC ("AMEX"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of shares called a "Creation Unit". Each Creation Unit consists of 50,000 shares for the First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, and the First Trust Utilities AlphaDEX(R) Fund and 100,000 shares for the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, and the First Trust Multi Cap Growth AlphaDEX(R) Fund. Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(TM) ConsumerDiscretionary Index First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(TM) Consumer Staples Index First Trust Energy AlphaDEX(R) Fund StrataQuant(TM) Energy Index First Trust Financials AlphaDEX(R) Fund StrataQuant(TM) Financials Index First Trust Health Care AlphaDEX(R) Fund StrataQuant(TM) Health Care Index First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(TM) Industrials Index First Trust Materials AlphaDEX(R) Fund StrataQuant(TM) Materials Index First Trust Technology AlphaDEX(R) Fund StrataQuant(TM) TechnologyIndex First Trust Utilities AlphaDEX(R) Fund StrataQuant(TM) UtilitiesIndex First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index |
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
The NAV of each Fund's shares is determine daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust's Board of Trustees. Portfolio securities listed on any exchange other than The NASDAQ Stock Market, Inc. ("NASDAQ(R)") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked prices on such day. Securities traded on the NASDAQ(R) are valued at the NASDAQ(R) Official Closing Price as determined by NASDAQ(R). Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ(R), are valued at the closing bid prices. Short-term investments that mature in less than 60 days are valued at amortized cost.
Certain securities may be not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value". As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in the prices used by the Fund differing from the closing sale prices on the applicable exchange and fair value prices may not reflect the actual value of a security. A variety of factors may be considered in determining the fair value of such securities.
Valuing a Fund's securities using fair value pricing will result in using prices for the securities that may differ from current market valuations. Use of fair value prices and certain market valuations could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of such index.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
A Fund may hold publicly-traded master limited partnerships ("MLPs") and real estate investment trusts ("REITs"). Distributions from such investments may include a return of capital component from the MLP or REIT to the extent of the cost basis of such MLP or REIT investments. Cumulative distributions received in excess of a Fund's cost basis in an MLP or REIT generally are recorded as dividend income.
C. Dividends and Distribution to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually.
Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
The tax character of distributions paid by each Fund during the year ended July 31, 2008 was as follows:
Distributions paid from Distributions paid from Ordinary Income Return of Capital ----------------------- ------------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 11,580 $ -- First Trust Consumer Staples AlphaDEX(R) Fund 33,075 -- First Trust Energy AlphaDEX(R) Fund 31,350 -- First Trust Financials AlphaDEX(R) Fund 42,251 -- First Trust Health Care AlphaDEX(R) Fund -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,475 -- First Trust Materials AlphaDEX(R) Fund 26,265 -- First Trust Technology AlphaDEX(R) Fund -- -- First Trust Utilities AlphaDEX(R) Fund 78,502 -- First Trust Large Cap Core AlphaDEX(R) Fund 115,441 -- First Trust Mid Cap Core AlphaDEX(R) Fund 39,200 -- First Trust Small Cap Core AlphaDEX(R) Fund 18,440 -- First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 183,261 -- First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 80,570 -- First Trust Multi Cap Value AlphaDEX(R) Fund 91,341 -- First Trust Multi Cap Growth AlphaDEX(R) Fund 8,995 1,395 |
There were no distributions paid during the period ended July 31, 2007.
As of July 31, 2008, the components of distributable earnings on a tax basis for the Funds were as follows:
Undistributed Accumulated Net Unrealized Ordinary Capital Appreciation Income Gain (Loss) (Depreciation) -------------- --------------- -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 441 $ (559,991) $ (297,490) First Trust Consumer Staples AlphaDEX(R) Fund 3,316 (403,593) (43,293) First Trust Energy AlphaDEX(R) Fund -- (481,818) (1,186,001) First Trust Financials AlphaDEX(R) Fund 1,126 (556,152) (293,071) First Trust Health Care AlphaDEX(R) Fund -- (389,567) 196,253 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,695 (696,235) (27,000) First Trust Materials AlphaDEX(R) Fund 1,209 (256,766) 144,443 First Trust Technology AlphaDEX(R) Fund -- (461,678) (448,171) First Trust Utilities AlphaDEX(R) Fund 21,646 (130,034) (343,152) First Trust Large Cap Core AlphaDEX(R) Fund 9,660 (1,119,305) (821,153) First Trust Mid Cap Core AlphaDEX(R) Fund 3,143 (1,086,808) (256,151) First Trust Small Cap Core AlphaDEX(R) Fund 535 (1,084,123) (458,901) First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 22,054 (663,102) (2,006,106) First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 2,734 (3,328,039) 367,474 First Trust Multi Cap Value AlphaDEX(R) Fund 3,744 (903,616) (824,255) First Trust Multi Cap Growth AlphaDEX(R) Fund -- (1,506,721) 534,879 |
D. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes.
In June 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements, effective for the Funds' current fiscal year. Management has analyzed the Funds' tax positions taken on federal income tax returns for the open tax year (tax period ended July 31, 2007) for purposes of implementing FIN 48, and has concluded that no provision for income tax is required in the Funds' financial statements.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
At July 31, 2008, for federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains through the year indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders.
Capital Loss Capital Loss Total Available through Available through Capital Loss July 31, 2015 July 31, 2016 Available ------------------- ------------------- -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 66,947 First Trust Consumer Staples AlphaDEX(R) Fund 3,068 83,534 86,602 First Trust Energy AlphaDEX(R) Fund -- 73,845 73,845 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 16,057 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 46,752 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 183,210 206,841 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 17,848 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 34,854 First Trust Utilities AlphaDEX(R) Fund 945 16,238 17,183 First Trust Large Cap Core AlphaDEX(R) Fund 15,102 8,528 23,630 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 92,793 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 126,505 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 1,854 80,299 82,153 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- 162,514 162,514 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 65,368 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 267,662 |
Capital losses incurred after October 31 ("Post-October Losses") within the taxable year can be deemed to arise on the first business day of the Funds' next taxable year.
The following Funds incurred and elected to defer net capital losses as follows:
Post-October Losses ------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 493,044 First Trust Consumer Staples AlphaDEX(R) Fund 316,991 First Trust Energy AlphaDEX(R) Fund 407,973 First Trust Financials AlphaDEX(R) Fund 540,095 First Trust Health Care AlphaDEX(R) Fund 342,815 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 489,394 First Trust Materials AlphaDEX(R) Fund 238,918 First Trust Technology AlphaDEX(R) Fund 426,824 First Trust Utilities AlphaDEX(R) Fund 112,851 First Trust Large Cap Core AlphaDEX(R) Fund 1,095,675 First Trust Mid Cap Core AlphaDEX(R) Fund 994,015 First Trust Small Cap Core AlphaDEX(R) Fund 957,618 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 580,949 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 3,165,525 First Trust Multi Cap Value AlphaDEX(R) Fund 838,248 First Trust Multi Cap Growth AlphaDEX(R) Fund 1,239,059 |
In order to present paid-in capital and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. For the year ended July 31, 2008, the adjustments were as follows:
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ----------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (57,225) $ 57,225 First Trust Consumer Staples AlphaDEX(R) Fund -- (115,509) 115,509 First Trust Energy AlphaDEX(R) Fund 4,324 (1,166,510) 1,162,186 First Trust Financials AlphaDEX(R) Fund -- (23,445) 23,445 First Trust Health Care AlphaDEX(R) Fund 14,822 (184,232) 169,410 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (86,976) 86,976 First Trust Materials AlphaDEX(R) Fund -- (405,178) 405,178 First Trust Technology AlphaDEX(R) Fund 12,308 (104,869) 92,561 First Trust Utilities AlphaDEX(R) Fund -- (88,369) 88,369 First Trust Large Cap Core AlphaDEX(R) Fund -- (60,530) 60,530 First Trust Mid Cap Core AlphaDEX(R) Fund -- (165,533) 165,533 First Trust Small Cap Core AlphaDEX(R) Fund -- (45,837) 45,837 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund -- (71,883) 71,883 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- (134,971) 134,971 First Trust Multi Cap Value AlphaDEX(R) Fund -- (333,349) 333,349 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (53,742) 53,742 |
E. Expenses
Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the average net assets of each Fund. First Trust Portfolios L.P. ("First Trust Portfolios") has entered into licensing agreements with each of the following "Licensors" for the respective Funds:
FUNDS LICENSOR First Trust Consumer Discretionary AlphaDEX(R) Fund AMEX First Trust Consumer Staples AlphaDEX(R) Fund AMEX First Trust Energy AlphaDEX(R) Fund AMEX First Trust Financials AlphaDEX(R) Fund AMEX First Trust Health Care AlphaDEX(R) Fund AMEX First Trust Industrials/Producer Durables AlphaDEX(R) Fund AMEX First Trust Materials AlphaDEX(R) Fund AMEX First Trust Technology AlphaDEX(R) Fund AMEX First Trust Utilities AlphaDEX(R) Fund AMEX First Trust Large Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(R) Fund Standard & Poor's |
The Funds are entitled to use each index and corresponding trademarks and trade names pursuant to sublicensing arrangements by and among each Fund, the respective Licensor, First Trust Advisors L.P. ("First Trust" or the "Advisor") and First Trust Portfolios. As such, the Funds pay licensing fees, which are shown on the Statements of Operations.
F. Accounting Pronouncement
In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157") was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. At this time, management is evaluating the implications of SFAS 157 and its impact on the Funds' financial statements, if any, has not been determined.
In March 2008, FASB released Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS 161"). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit risk
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. Management is currently evaluating the impact the adoption of FAS161 will have on the Funds' financial statement disclosures, if any.
3. Investment Advisory Fee and Other Affiliated Transactions
First Trust is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in the Funds' portfolios and providing certain other services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets.
The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse the Funds to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap").
Each Fund's Expense Cap will be in effect until at least May 10, 2009. Expenses borne by the Advisor are subject to reimbursement by each Fund up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if at any time it would result in the Fund exceeding its Expense Cap.
The advisory fee waivers and expense reimbursements for the year ended July 31, 2008 and the expenses borne by the Advisor subject to reimbursement by each Fund from inception (May 8, 2007) through July 31, 2008 were as follows:
Expenses Borne by Advisory Fee Expense Advisor Subject Waivers Reimbursements to Reimbursement ---------------- ---------------- ------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ 10,191 $ 44,024 $ 103,134 First Trust Consumer Staples AlphaDEX(R) Fund 13,971 37,571 100,639 First Trust Energy AlphaDEX(R) Fund 27,241 32,103 108,939 First Trust Financials AlphaDEX(R) Fund 8,632 46,297 103,844 First Trust Health Care AlphaDEX(R) Fund 21,988 36,273 107,180 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 22,964 32,131 104,660 First Trust Materials AlphaDEX(R) Fund 16,624 37,254 102,997 First Trust Technology AlphaDEX(R) Fund 21,518 34,682 105,164 First Trust Utilities AlphaDEX(R) Fund 15,058 39,018 103,189 First Trust Large Cap Core AlphaDEX(R) Fund 51,947 22,950 124,072 First Trust Mid Cap Core AlphaDEX(R) Fund 37,640 30,874 118,139 First Trust Small Cap Core AlphaDEX(R) Fund 31,494 42,056 123,225 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 54,890 16,320 120,727 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 90,402 -- 140,016 First Trust Multi Cap Value AlphaDEX(R) Fund 30,682 30,878 110,894 First Trust Multi Cap Growth AlphaDEX(R) Fund 37,136 26,065 113,359 |
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM") (formerly known as The Bank of New York). Under the servicing agreements, BNYM will perform custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for performing transfer agency services for the Trust. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
PNC Global Investment Servicing (U.S.) Inc. ("PNC"), formerly known as PFPC, Inc., provides certain administrative services to the Trust and the Funds in connection with the Board's meetings and other related matters.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each subsequent trust added to the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with board or committee meetings.
Additionally, the Lead Independent Trustee is paid $10,000 annually and the Audit Committee Chairman is paid $5,000 annually, with such compensation paid by the trusts in the First Trust Fund Complex and divided among those trusts. Trustees are also reimbursed by the trusts in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. Effective January 1, 2008, each of the chairmen of the Nominating and Governance Committee and Valuation Committee are paid $2,500 annually to serve in such capacities, with such compensation paid by the trusts in the First Trust Fund Complex and divided among those trusts. Also effective January 1, 2008, the Lead Independent Trustee and each Committee chairman will serve two-year terms. The officers and interested trustee receive no compensation from the trusts for serving in such capacities.
4. Purchases and Sales of Securities
For the year ended July 31, 2008, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,893,793 $ 2,238,762 First Trust Consumer Staples AlphaDEX(R) Fund 2,697,485 3,565,813 First Trust Energy AlphaDEX(R) Fund 3,633,375 5,085,550 First Trust Financials AlphaDEX(R) Fund 1,304,319 1,464,018 First Trust Health Care AlphaDEX(R) Fund 4,030,771 4,385,485 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 3,733,612 4,638,395 First Trust Materials AlphaDEX(R) Fund 2,015,374 2,686,999 First Trust Technology AlphaDEX(R) Fund 3,931,564 4,185,301 First Trust Utilities AlphaDEX(R) Fund 2,145,383 2,467,018 First Trust Large Cap Core AlphaDEX(R) Fund 9,332,434 11,583,538 First Trust Mid Cap Core AlphaDEX(R) Fund 6,227,723 6,568,869 First Trust Small Cap Core AlphaDEX(R) Fund 6,054,069 6,440,658 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 11,412,033 11,974,368 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 25,733,928 27,100,477 First Trust Multi Cap Value AlphaDEX(R) Fund 3,460,605 4,803,684 First Trust Multi Cap Growth AlphaDEX(R) Fund 8,309,304 9,802,288 For the year ended July 31, 2008, the cost of in-kind purchases and proceeds from in-kind sales were as follows: Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 3,291,991 $ 635,182 First Trust Consumer Staples AlphaDEX(R) Fund 1,986,260 1,352,937 First Trust Energy AlphaDEX(R) Fund 13,744,041 8,881,240 First Trust Financials AlphaDEX(R) Fund 1,602,407 788,800 First Trust Health Care AlphaDEX(R) Fund 8,612,839 1,668,366 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,935,269 1,036,951 First Trust Materials AlphaDEX(R) Fund 5,169,919 2,339,434 First Trust Technology AlphaDEX(R) Fund 8,683,867 898,293 First Trust Utilities AlphaDEX(R) Fund 6,756,391 3,411,324 First Trust Large Cap Core AlphaDEX(R) Fund 16,546,239 754,639 First Trust Mid Cap Core AlphaDEX(R) Fund 8,553,056 2,681,120 First Trust Small Cap Core AlphaDEX(R) Fund 10,662,543 5,057,512 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 22,457,610 2,344,758 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 37,093,569 1,765,213 First Trust Multi Cap Value AlphaDEX(R) Fund 10,637,387 6,401,373 First Trust Multi Cap Growth AlphaDEX(R) Fund 5,947,652 4,610,116 |
Gains on in-kind transactions are not considered taxable for federal income tax purposes.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
5. Capital
Shares are created and redeemed by the Funds only in Creation Unit size
aggregations of 50,000 or 100,000 shares, as determined by each Fund (See Note
1). Such transactions are generally permitted on an in-kind basis, with a
balancing cash component to equate the transaction to the daily NAV per share of
each Fund on the transaction date times the number of shares in a Creation Unit.
Purchasers of Creation Units must pay a standard creation transaction fee (the
"Creation Transaction Fee"), which is based on the number of different
securities in a Creation Unit according to the fee schedule set forth below:
Number of Securities Creation in a Creation Unit Transaction Fee 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 |
The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes.
Parties redeeming Creation Units must pay a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below:
Number of Securities Redemption in a Creation Unit Transaction Fee 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 |
The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. The Funds reserve the right to effect redemptions in cash. A shareholder may request a cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request.
6. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios, the distributor, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. First Trust Portfolios may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before June 30, 2009.
7. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
To the Board of Trustees and Shareholders of First Trust Exchange-Traded AlphaDEX(R) Fund:
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), comprising First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust Utilities AlphaDEX(R) Fund as of July 31, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets and financial highlights for the year then ended and for the period May 8, 2007 (inception) through July 31, 2007. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2008, by correspondence with the Funds' custodian, and brokers; where replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of July 31, 2008, the results of their operations for the year then ended, and the changes in their net assets and financial highlights for the year then ended and for the period May 8, 2007 (inception) through July 31, 2007, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP Chicago, Illinois September 22, 2008 |
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008 (Unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the 12-months ended June 30, 2008 is available
(1)without charge, upon request, by calling (800) 988-5891; (2)on the Trust's
website located at http://www.ftportfolios.com; and (3)on the Securities and
Exchange Commission's website at http://www.sec.gov.
Portfolio Holdings
The Trust files its complete schedule of each Fund's portfolio holdings with
the Securities and Exchange Commission ("SEC") for the first and third quarters
of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by
calling (800) 988-5891; (2) on the Trust's website located at
http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and
(4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.
Federal Tax Information
For the taxable year ended July 31, 2008, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction ------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund 100% First Trust Consumer Staples AlphaDEX(R) Fund 100% First Trust Energy AlphaDEX(R) Fund 100% First Trust Financials AlphaDEX(R) Fund 100% First Trust Health Care AlphaDEX(R) Fund 0% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100% First Trust Materials AlphaDEX(R) Fund 100% First Trust Technology AlphaDEX(R) Fund 0% First Trust Utilities AlphaDEX(R) Fund 100% First Trust Large Cap Core AlphaDEX(R) Fund 100% First Trust Mid Cap Core AlphaDEX(R) Fund 100% First Trust Small Cap Core AlphaDEX(R) Fund 100% First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 100% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 100% First Trust Multi Cap Value AlphaDEX(R) Fund 100% First Trust Multi Cap Growth AlphaDEX(R) Fund 100% |
For the taxable year ended July 31, 2008, the following percentages of income dividends paid by the Funds are designated as qualified dividend income:
Qualified Dividend Income --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100% First Trust Consumer Staples AlphaDEX(R) Fund 100% First Trust Energy AlphaDEX(R) Fund 100% First Trust Financials AlphaDEX(R) Fund 100% First Trust Health Care AlphaDEX(R) Fund 0% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100% First Trust Materials AlphaDEX(R) Fund 100% First Trust Technology AlphaDEX(R) Fund 0% First Trust Utilities AlphaDEX(R) Fund 100% First Trust Large Cap Core AlphaDEX(R) Fund 100% First Trust Mid Cap Core AlphaDEX(R) Fund 100% First Trust Small Cap Core AlphaDEX(R) Fund 100% First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 100% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 100% First Trust Multi Cap Value AlphaDEX(R) Fund 100% First Trust Multi Cap Growth AlphaDEX(R) Fund 100% |
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
Privacy Policy
The open-end and closed-end funds advised by First Trust Advisors L.P. (each a "Fund") consider your privacy an important priority in maintaining our relationship. We are committed to protecting the security and confidentiality of your personal information.
Sources of Information
We may collect nonpublic personal information about you from the following sources:
o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms;
o Information about your transactions with us, our affiliates or others;
o Information we receive from your inquiries by mail, e-mail or telephone; and
o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits.
Information Collected
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
Disclosure of Information
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. The permitted uses include the disclosure of such information to unaffiliated companies for the following reasons:
o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives and printers.
o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. Please note, however, that the California Financial Information Privacy Act contains an "opt out" mechanism that California consumers may use to prevent us from sharing nonpublic personal information with affiliates.
Confidentiality and Security
With regard to our internal security procedures, the Fund restricts access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.
Policy Updates and Inquiries
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly.
For questions about our policy, or for additional copies of this notice, please contact us at (800) 621-1675.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
Each Fund's respective statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DIRECTORSHIPS POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- Independent Trustees ----------------------------------------------------------------------------------------------------------------------------------- Richard E. Erickson, Trustee o Indefinite Term Physician; President, 59 None c/o First Trust Advisors Wheaton Orthopedics; L.P. o Since Inception Co-Owner and Co-Director, 1001 Warrenville Road, (January 1996 to May 2007), Suite 300 Sports Med Center for Lisle, IL 60532 Fitness; Limited Partner, D.O.B.: 04/51 Gundersen Real Estate Partnership; Limited Partner, Sportsmed LLC Thomas R. Kadlec, Trustee o Indefinite Term Senior Vice President and 59 Director of c/o First Trust Advisors Chief Financial Officer (May ADM Investor L.P. o Since Inception 2007 to Present), Vice President Services, Inc. 1001 Warrenville Road, and Chief Financial Officer (1990 and Director of Suite 300 to May 2007), ADM Investor Archer Financial Lisle, IL 60532 Services, Inc. (Futures Services, Inc. D.O.B.: 11/57 Commission Merchant); President (May 2005 to Present), ADM Derivatives, Inc.; Registered Representative (2000 to Present), Segerdahl & Company, Inc., a FINRA member (Broker-Dealer) Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), 59 None c/o First Trust Advisors Hibs Enterprises (Financial L.P. o Since Inception and Management Consulting); 1001 Warrenville Road, President (2001 to 2003), Suite 300 Aramark Service Master Lisle, IL 60532 Management; President and D.O.B.: 11/56 Chief Operating Officer (1998 to 2003), Service Master Management Services Niel B. Nielson, Trustee o Indefinite Term President (June 2002 to 59 Director of c/o First Trust Advisors Present), Covenant College Covenant L.P. o Since Inception Transport Inc. 1001 Warrenville Road, Suite 300 Lisle, IL 60532 D.O.B.: 03/54 ----------------------------------------------------------------------------------------------------------------------------------- Interested Trustee ----------------------------------------------------------------------------------------------------------------------------------- James A. Bowen(1), Trustee, o Indefinite Term President, First Trust 59 Trustee of President, Chairman of the Advisors L.P. and First Wheaton College Board and CEO o Since Inception Trust Portfolios L.P.; 1001 Warrenville Road, Chairman of the Board of, Suite 300 Directors, BondWave LLC Lisle, IL 60532 (Software Development Company/ D.O.B.: 09/55 Broker-Dealer/Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor) -------------------- 1 Mr. Bowen is deemed an "interested person" of the Trust due to his position as President of First Trust Advisors L.P., investment advisor of the Trust. |
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
POSITION AND TERM OF OFFICE NAME, ADDRESS, AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- Officers Who Are Not Trustees(2) ----------------------------------------------------------------------------------------------------------------------------------- Mark R. Bradley Treasurer, Controller, o Indefinite Term Chief Financial Officer, First Trust Advisors 1001 Warrenville Road, Chief Financial Officer L.P. and First Trust Portfolios L.P.; Chief Suite 300 and Chief Accounting o Since Inception Financial Officer, BondWave LLC (Software Lisle, IL 60532 Officer Development Company/Broker-Dealer/Investment Advisor) D.O.B.: 11/57 and Stonebridge Advisors LLC (Investment Advisor) James M. Dykas Assistant Treasurer o Indefinite Term Senior Vice President (April 2007 to Present), 1001 Warrenville Road, Vice President (January 2005 to April 2007), Suite 300 o Since Inception First Trust Advisors L.P. and First Trust Lisle, IL 60532 Portfolios L.P.; Executive Director (December 2002 D.O.B.: 01/66 to January 2005), Vice President (December 2000 to December 2002), Van Kampen Asset Management and Morgan Stanley Investment Management W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. 1001 Warrenville Road, Compliance Officer and First Trust Portfolios L.P.; Secretary, Suite 300 o Since Inception BondWave LLC (Software Development Company/ Lisle, IL 60532 Broker-Dealer/Investment Advisor) and Stonebridge D.O.B.: 05/60 Advisors LLC (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to Present), 1001 Warrenville Road, Vice President (April 2004 to September 2005), Suite 300 o Since Inception First Trust Advisors L.P. and First Trust Lisle, IL 60532 Portfolios L.P.; Chief Operating Officer D.O.B.: 02/70 (January 2004 to April 2004), Mina Capital Management, LLC; Chief Operating Officer (April 2000 to January 2004), Samaritan Asset Management Services, Inc. Kristi A. Maher Assistant Secretary o Indefinite Term Deputy General Counsel (May 2007 to Present), 1001 Warrenville Road, Assistant General Counsel (March 2004 to May Suite 300 o Since Inception 2007), First Trust Advisors L.P. and First Lisle, IL 60532 Trust Portfolios L.P.; Associate (December 1995 to D.O.B.: 12/66 March 2004), Chapman and Cutler LLP Roger Testin Vice President o Indefinite Term Senior Vice President (November 2003 to 1001 Warrenville Road, Present), Vice President (August 2001 to Suite 300 o Since Inception November 2003), First Trust Advisors L.P. Lisle, IL 60532 and First Trust Portfolios L.P.; Analyst (1998 D.O.B.: 06/66 to 2001), Dolan Capital Management Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present), 1001 Warrenville Road, First Trust Advisors L.P. and First Trust Portfolios Suite 300 o Since July, 2008 L.P.; Vice President (May 1998 to January 2008), Van Lisle, IL 60532 Kampen Asset Management and Morgan Stanley D.O.B.: 07/58 Investment Management Stan Ueland Vice President o Indefinite Term Vice President (August 2005 to Present), 1001 Warrenville Road, First Trust Advisors L.P. and First Trust Suite 300 o Since Inception Portfolios L.P; Vice President (May 2004 to Lisle, IL 60532 August 2005), BondWave LLC (Software Development D.O.B.: 11/70 Company/Broker-Dealer/Investment Advisor); Account Executive (January 2003 to May 2004), Mina Capital Management, LLC and Samaritan Asset Management Services, Inc.; Sales Consultant (January 1997 to January 2003), Oracle Corporation -------------------- 2 The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
You should consider each Fund's investment objective, risks, and charges and expenses carefully before investing. You can download each Fund's prospectus at http://www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about the particular Fund. Read it carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded AlphaDEX(R) Fund.
RISK CONSIDERATIONS
Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase shares directly from a Fund and individual shares are not redeemable. However, specified large blocks of shares called Creation Units can be purchased from, or redeemed to, the Fund.
You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index.
Each Fund's return may not match the return of its corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index.
Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index.
Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund.
The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in an individual industry. You should be aware that an investment in a portfolio that is concentrated in an individual industry involves additional risk, including limited diversification.
Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of their assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which they invest.
The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, the First Trust Utilities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund may invest in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies.
The First Trust Mid Cap Core AlphaDEX(R) Fund invests in mid-cap companies and is subject to additional risks because such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies.
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
The First Trust Small Cap Core AlphaDEX(R) Fund invests in small-cap companies and is subject to additional risks, as the share prices of small-cap companies are often more volatile than those of larger companies.
The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price.
The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes.
The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace.
The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Because companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits, these companies may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of foods and soft drinks may be strongly affected by fads, marketing campaigns and other factors affecting supply and demand.
The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand as a result of increases in energy efficiency and energy conservation, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, declines in U.S. and Russian crude oil production will likely lead to a greater world dependence on oil from OPEC nations, which may result in more volatile oil prices.
The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. Although the barriers which separated the banking, insurance and securities industries were eliminated by legislation, these industries are still extensively regulated at both the federal and state level and may be adversely affected by increased regulations.
Banks and thrifts face increased competition from nontraditional lending sources as regulatory change permit new entrants to offer various financial products. Technological advances such as Internet allow these nontraditional lending sources to cut overhead and permit the more efficient use of customer data.
Brokerage firms, broker/dealers, investment banks, finance companies and mutual fund companies and also financial services providers. These companies compete with banks and thrifts to provide traditional financial service products, in addition to their traditional services, such as brokerage and investment advice. In addition, all financial service companies face shrinking profit margins due to new competitors, the cost of new technology and the pressure to compete globally.
Companies involved in the insurance industry are engaged in underwriting, selling, distributing, or placing of property and casualty, life or health insurance. Insurance company profits are affected by many factors, including interest rate movements, the imposition of premium rate caps, competition and pressure to compete globally. Property and casualty insurance profits may also be affected by weather catastrophes such as hurricanes and earthquakes, acts of terrorism and other disasters. Life and health insurance profits may be affected
First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2008
by mortality rates. Already extensively regulated, insurance companies' profits may also be adversely affected by increased government regulations or tax law changes.
The First Trust Financials AlphaDEX(R) Fund may invest in companies that may be affected by the downturn in the subprime mortgage lending market in the United States. Subprime loans have higher defaults and losses than prime loans. Subprime loans also have higher serious delinquency rates than prime loans. The downturn in the subprime mortgage lending market has had a significant adverse effect on the financials sector and the economy and may have far-reaching consequences into various aspects of the financials sector, and consequently, the value of the First Trust Financials AlphaDEX(R) Fund may decline in response to such developments.
The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Because companies in the health care sector are involved in medical services or health care including biotechnology research and production, drugs and pharmaceuticals, and health care facilities and services, general problems of these companies include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers.
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives.
The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Because companies in the materials sector are involved in the extracting or processing of raw materials, general risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices.
The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. Because companies in the technology sector serve the electronics and computer industries or manufacture products based on the latest applied science, general risks of these companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Technology company stocks, particularly those involved with the Internet, have experienced extreme price and volume fluctuations that often have been unrelated to their operating performance. Also, the stocks of many technology companies have exceptionally high price-to-earning ratios with little or no earnings histories.
The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
[LOGO OMITTED] FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
INVESTMENT ADVISOR
First Trust Advisors L.P.
1001 Warrenville Road
Lisle, IL 60532
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
BOARD ADMINISTRATOR
PNC Global Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
Back Cover
Item 2. Code of Ethics.
(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.
(d) The registrant, during the period covered by this report, has not
granted any waivers, including an implicit waiver, from a provision of
the code of ethics that applies to the registrant's principal executive
officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the registrant or a third
party, that relates to one or more of the items set forth in paragraph
(b) of this item's instructions.
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $406,000 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $1,500 for the fiscal year ended July 31, 2008.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in
each of the last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit
of the registrant's financial statements and are not reported under paragraph
(a) of this Item were $0 from the inception of the registrant on May 8, 2007
through July 31, 2007 and $0 for the fiscal year ended July 31, 2008.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $0 for the fiscal year ended July 31, 2008.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $68,000 for the fiscal year ended July 31, 2008. These fees were for tax consultation.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $25,369 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $0 for the fiscal year ended July 31, 2008. These fees were for tax consultation.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $158 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $0 for the fiscal year ended July 31, 2008. These fees were for compliance consulting.
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $16,769 from the inception of the registrant on May 8, 2007 through July 31, 2007 and $0 for the fiscal year ended July 31, 2008. These fees were for compliance consulting.
(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its
policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
From Inception of the Registrant on May 8, 2007 through July 31, 2007:
Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 60.2% (d) 0% (d) 0% For the Fiscal Year Ended July 31, 2008: Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% |
(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant from the inception of the registrant on May 8, 2007 through July 31, 2007, were $158 for the registrant, $42,138 for the registrant's investment adviser and $19,000 for the registrant's distributor, and for the fiscal year ended July 31, 2008, were $68,000 for the registrant, $19,143 for the registrant's investment adviser and $45,088 for the registrant's distributor.
(h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material change to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund
By: /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: September 24, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: September 24, 2008 By: /s/ Mark R. Bradley -------------------------------------------- Name: Mark R. Bradley Title: Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer Date: September 24, 2008 |
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